Calculating posterior distributions and modal estimates in Markov mixture models
From MaRDI portal
Publication:1126462
DOI10.1016/0304-4076(95)01770-4zbMath0864.62010MaRDI QIDQ1126462
Publication date: 8 December 1996
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(95)01770-4
Markov chain Monte Carlo; Poisson distribution; hidden Markov models; autoregressive time series; latent variables; Gibbs sampling; data augmentation; maximum likelihood estimate; Markov switching models; multivariate normal mixture; finite mixture models; stochastic EM algorithm; full Bayesian approach; mixtures of multivariate normal distributions; Poisson data
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