Bayesian mixture of autoregressive models

DOI10.1016/J.CSDA.2008.06.001zbMATH Open1452.62655OpenAlexW1993848799MaRDI QIDQ1023925FDOQ1023925

Authors: John W. Lau, Mike K. P. So 

Publication date: 16 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.2008.06.001

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Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (38)

• Bayesian comparative study on binary time series
• Mixtures of autoregressions with an improper component for panel data
• Bayesian analysis of mixture of autoregressive components with an application to financial market volatility
• The dependent Dirichlet process and related models
• Bayesian semiparametric Markov switching stochastic volatility model
• A mixture autoregressive model based on Student’s t–distribution
• Time series clustering with ARMA mixtures
• Title not available (Why is that?)
• Mixture of Forward-Directed and Backward-Directed Autoregressive Hidden Markov Models for Time series Modeling
• Bayesian outlier detection with Dirichlet process mixtures
• Bayesian analysis of mixture models with Yeo-Johnson transformation
• Covariate dependent beta-GoS process
• A Bayesian nonparametric Markovian model for non-stationary time series
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• Finite mixture modeling of Gaussian regression time series with application to dendrochronology
• A conjugate class of random probability measures based on tilting and with its posterior analysis
• A Monte Carlo Markov chain algorithm for a class of mixture time series models
• Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables
• A Bayesian nonparametric approach for time series clustering
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• AdaptSPEC: Adaptive spectral estimation for nonstationary time series
• Modelling long-term investment returns via Bayesian infinite mixture time series models

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