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Publications by Valérie Monbet

Sparse Vector Markov Switching Autoregressive Models. Application to Multivariate Time Series of Temperature

Computational Statistics and Data Analysis

Applied Mathematics

Computational Theory

Computational Mathematics

English

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Application of Vector Autoregressive (VAR) Process in Modelling Reshaped Seasonal Univariate Time Series

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Identification-Robust Moment-Based Tests for Markov Switching in Autoregressive Models

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A Tutorial on Estimating Time-Varying Vector Autoregressive Models

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Time-Varying Transition Probabilities for Markov Regime Switching Models

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