Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach

DOI10.1080/02664760120098829zbMath1349.62422OpenAlexW2038837584MaRDI QIDQ5309311

Man-Suk Oh, Dong Wan Shin

Publication date: 9 October 2007

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760120098829

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (2)

Bayesian Subset Model Selection for Time Series ⋮ Time-varying multi-regime models fitting by genetic algorithms

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