Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables

DOI10.1016/j.csda.2007.09.020zbMath1452.62671MaRDI QIDQ1023565

Luigi Spezia, Roberta Paroli

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.09.020

zbMATH Keywords

hidden Markov chain; regime switching; marginal likelihood; permutation sampling; metropolized-Kuo-Mallick

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P12: Applications of statistics to environmental and related topics

62F15: Bayesian inference