Efficient Bayesian Inference for Dynamic Mixture Models

DOI10.2307/2669465MaRDI QIDQ4541310zbMATH OpenOpenAlexFDO

Authors Chris Carter, Robert Kohn, Richard Gerlach

Publication date 30 July 2002

Full work available at URL https://doi.org/10.2307/2669465

zbMATH Keywords

level shiftsMarkov chain Monte Carlomixture of normalsoutliersstate-space modeltime series

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(40)

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• Calculating posterior distributions and modal estimates in Markov mixture models
• Mixture estimation with state-space components and Markov model of switching
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• Efficient posterior integration in stable paretian models
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• Bayesian inference for diffusion-driven mixed-effects models
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• Structural evolution of the postwar U.S. economy
• Relevant parameter changes in structural break models
• A flexible particle Markov chain Monte Carlo method
• The horseshoe prior for time-varying parameter VARs and monetary policy
• On the evolution of the monetary policy transmission mechanism
• Time-varying sparsity in dynamic regression models
• A unified approach to nonlinearity, structural change, and outliers
• Forecasting volatility in the presence of model instability
• Methods for inference in large multiple-equation Markov-switching models
• Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
• The information content of capacity utilization for detrending total factor productivity
• Bayesian inference on time-varying proportions
• Bayesian Inference for Linear Dynamic Models With Dirichlet Process Mixtures
• Bayesian estimation of traffic lane state
• On the consistency of Bayes estimates for the infinite continuous mixture of Dirichlet distributions
• Learning, Structural Instability, and Present Value Calculations
• Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy
• BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS
• A consistent on‐line Bayesian procedure for detecting change points
• Forecasting inflation using time-varying Bayesian model averaging
• Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
• Unobserved component models, approximate filters and dynamic adaptive mixture models
• A novel double-banded-threshold mixture autoregressive model
• Modeling offence counts with a class of mixed integer-valued autoregressive models with dynamic mixing probabilities
• Locally time-varying parameter regression
• Dynamic sparsity on dynamic regression models
• A flexible approach to parametric inference in nonlinear and time varying time series models
• Efficient MCMC sampling in dynamic mixture models
• Factor estimation using MCMC-based Kalman filter methods
• Dynamic detection of change points in long time series

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