Bayesian Analysis of Structural Changes in Autoregressive Models

DOI10.1080/01966324.2007.10737694MaRDI QIDQ3511918zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 11 July 2008

Published in American Journal of Mathematical and Management Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01966324.2007.10737694

zbMATH Keywords

Bayesian estimation

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical integration (65D30)

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Cites work

• scientific article; zbMATH DE number 3899943 (Why is no real title available?)
• scientific article; zbMATH DE number 3548305 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• Structural changes in time series models

Cited in

(18)

• Bayesian inference of C-AR(1) time series model with structural break
• Estimating a gradual parameter change in an AR(1)-process
• Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
• Structural changes in AR(1) models: a Bayesian mixture approach
• A Bayesian regime-switching time-series model
• A Bayesian Analysis of a Structural Change in the Parameters of a Time Series
• Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths
• scientific article; zbMATH DE number 4020272 (Why is no real title available?)
• Objective Bayesian analysis for autoregressive models with nugget effects
• Structural changes in autoregressive models for binary time series
• Parameter changes in the multiple regression model with autocorrelated errors : Bayesian analysis
• Using a Bayesian change-point statistical model with autoregressive terms to study the monthly number of dispensed asthma medications by public health services
• A Bayesian analysis of a change in the parameters of autoregressive time series
• A Bayesian analysis of multiple changes in the variance of first-order autoregressive time series models
• Bayesian analysis of autoregressive time series with change points
• scientific article; zbMATH DE number 2199133 (Why is no real title available?)
• A Bayesian detection of structural changes in autoregressive time series models
• A gradual switching regression model with autocorrelated errors

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