Fully Bayesian analysis of switching Gaussian state space models

DOI10.1023/A:1017908219076MaRDI QIDQ5960134zbMATH OpenOpenAlexFDO

Authors Sylvia Frühwirth-Schnatter

Publication date 11 April 2002

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1017908219076

zbMATH Keywords

model selectionstate space modelsexchange rateMCMC methodsMarkov switching modelsbridge sampling

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(18)

• Estimating marginal likelihoods from the posterior draws through a geometric identity
• Bayesian analysis of mixture of autoregressive components with an application to financial market volatility
• Handling the label switching problem in latent class models via the ECR algorithm
• A switching Markov chain Monte Carlo method for statistical identifiability of nonlinear pharmacokinetics models
• Bayesian analysis of switching ARCH models
• Using state-space model with regime switching to represent the dynamics of facial electromyography (EMG) data
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• Exact and approximate hidden Markov chain filters based on discrete observations
• Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
• Switching state-space models: likelihood function, filtering and smoothing
• Level changes in volatility models
• scientific article; zbMATH DE number 4143314 (Why is no real title available?)
• Modeling price response from retail sales: an empirical comparison of models with different representations of heterogeneity
• Unobserved component models, approximate filters and dynamic adaptive mixture models
• Mixture estimation with state-space components and Markov model of switching
• Interpretation and inference in mixture models: simple MCMC works
• Robust identification of highly persistent interest rate regimes
• Bayesian analysis of static and dynamic factor models: an ex-post approach towards the rotation problem

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Uses Software

• tsbridge

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