Fully Bayesian analysis of switching Gaussian state space models
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Publication:5960134
DOI10.1023/A:1017908219076zbMath0995.62087OpenAlexW1573453184MaRDI QIDQ5960134
Publication date: 11 April 2002
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1017908219076
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)
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