A Bayesian detection of structural changes in autoregressive time series models

DOI10.32372/CHJS.13-01-03zbMath1527.62063OpenAlexW4224986303MaRDI QIDQ6066367

Abdeldjalil Slama

Publication date: 16 November 2023

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

Full work available at URL: https://doi.org/10.32372/chjs.13-01-03

zbMATH Keywords

Bayesian analysisGibbs sampler\(p\)-valuechange pointHPD credible set

Mathematics Subject Classification ID

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

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