This is the twelfth in a series of lecture notes which, if tied together into a textbook, might be entitled “Practical Regression.” The purpose of the notes is to supplement the theoretical content of ...

Categorical-or qualitative-time series data with random time-dependent covariates are frequently encountered in diverse applications as the list of examples shows. As with "ordinary" time series, the ...

Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...