Markov Chain Monte Carlo Estimation of Regime Switching Vector Autoregressions (Q3632874): Difference between revisions

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+MaRDI publication profile
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+Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
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+Dynamic linear models with Markov-switching
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+On Gibbs sampling for state space models
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+Generalized autoregressive conditional heteroscedasticity
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+Autoregressive conditional heteroskedasticity and changes in regime
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+Analysis of time series subject to changes in regime
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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