Markov chain Monte Carlo methods for switching diffusion models

DOI10.1093/BIOMET/88.2.299MaRDI QIDQ2775626zbMATH OpenOpenAlexFDO

Authors Gareth O. Roberts, John C. Liechty

Publication date 14 May 2002

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/a99e897b01a257b759e4377220e5458e36979a30

zbMATH Keywords

changepoint modelreversible jump Markov chain Monte Carlotime series modelvariable dimension

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical analysis or methods applied to Markov chains (65C40)

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(12)

• Varying-coefficient stochastic differential equations with applications in ecology
• Global and local covert visual attention: evidence from a Bayesian hidden Markov model
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• Markov-switching model selection using Kullback-Leibler divergence
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• An MCMC computational approach for a continuous time state-dependent regime switching diffusion process
• Variable dimension via stochastic volatility model using FX rates
• Optimal investment under information driven contagious distress
• Parameter estimation in continuous time Markov switching models: a semi-continuous Markov chain Monte Carlo approach
• Analysis of single particle diffusion with transient binding using particle filtering
• Bayesian diffusion process models with time-varying parameters
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