Bayesian analysis of autoregressive time series with change points
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Cites work
- A Bayesian approach to retrospective identification of change-points
- Accurate and stable Bayesian model selection: the median intrinsic Bayes factor.
- Bayes Factors
- Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
- Detecting shocks: Outliers and breaks in time series
- scientific article; zbMATH DE number 3791441 (Why is no real title available?)
- scientific article; zbMATH DE number 720676 (Why is no real title available?)
- scientific article; zbMATH DE number 842531 (Why is no real title available?)
- scientific article; zbMATH DE number 847277 (Why is no real title available?)
- scientific article; zbMATH DE number 849932 (Why is no real title available?)
- Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
- On the inverses of some patterned matrices arising in the theory of stationary time series
- On the parametrization of autoregressive models by partial autocorrelations
- Properties of intrinsic and fractional Bayes factors
- Randomly Choosing Parameters from the Stationarity and Invertibility Region of Autoregressive-Moving Average Models
- Sensitivity of the fractional Bayes factor to prior distributions
- STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
- Structural change and unit roots
- The Intrinsic Bayes Factor for Model Selection and Prediction
- The problem of the Nile: Conditional solution to a changepoint problem
- THE SIZE OF THE STATIONARITY AND INVERTIBILITY REGION OF AN AUTOREGRESSIVE-MOVING AVERAGE PROCESS
Cited in
(17)- Bayesian inferences for several autoregressive processes
- A first order autoregressive process with a change point: a Bayesian approach based on model selection
- Bayesian time series analysis of structural changes in level and trend
- Structural changes in AR(1) models: a Bayesian mixture approach
- A Bayesian Analysis of a Structural Change in the Parameters of a Time Series
- Bayesian Analysis of Structural Changes in Autoregressive Models
- Bayesian forecasting and detecting structural changepoints in dynamic models
- scientific article; zbMATH DE number 1522736 (Why is no real title available?)
- 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 model search for nonstationary periodic time series
- A Bayesian multiple structural change regression model with autocorrelated errors
- scientific article; zbMATH DE number 7112390 (Why is no real title available?)
- scientific article; zbMATH DE number 2199133 (Why is no real title available?)
- A Bayesian detection of structural changes in autoregressive time series models
- Bayesian multiple change-points detection in autocorrelated binary process with application to COVID-19 infection pattern
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