Efficient Bayesian estimation of the multivariate double chain Markov model

DOI10.1007/S11222-012-9323-YMaRDI QIDQ892425zbMATH OpenOpenAlexFDO

Authors Matthew Fitzpatrick, Dobrin Marchev

Publication date 19 November 2015

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-012-9323-y

zbMATH Keywords

Markov chain Monte Carlodata augmentationGibbs samplerhidden Markov modeldouble chain Markov modelratings migration

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3954111 (Why is no real title available?)
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Cited in

(5)

• Malware family discovery using reversible jump MCMC sampling of regimes
• Bayesian multiple changepoints detection for Markov jump processes
• Non-stationary data segmentation with hidden evidential semi-Markov chains
• The double chain markov model
• Modeling the coupled return-spread high frequency dynamics of large tick assets

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