Calculating posterior distributions and modal estimates in Markov mixture models

DOI10.1016/0304-4076(95)01770-4zbMath0864.62010OpenAlexW2054038204MaRDI 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

zbMATH Keywords

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

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

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