Semiparametric multivariate and multiple change-point modeling

DOI10.1214/18-BA1125zbMath1421.62048OpenAlexW2895414701WikidataQ129134259 ScholiaQ129134259MaRDI QIDQ2316981

Stefano Peluso, Siddhartha Chib, Antonietta Mira

Publication date: 7 August 2019

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1560240025

zbMATH Keywords

interest ratesDirichlet process mixtureBayesian semiparametric inferenceheterogeneous transition matrices

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (8)

Multipartition model for multiple change point identification ⋮ Scalable Bayesian Multiple Changepoint Detection via Auxiliary Uniformisation ⋮ Modeling time-varying parameters using artificial neural networks: a GARCH illustration ⋮ A Bayesian semiparametric vector multiplicative error model ⋮ The semi-Markov beta-Stacy process: a Bayesian non-parametric prior for semi-Markov processes. ⋮ A Dirichlet process model for change-point detection with multivariate bioclimatic data ⋮ Bayesian multiple changepoint detection with missing data and its application to the magnitude-frequency distributions ⋮ Semiparametric multivariate and multiple change-point modeling

Uses Software

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