Estimation and comparison of multiple change-point models
From MaRDI portal
Publication:1305640
DOI10.1016/S0304-4076(97)00115-2zbMath1045.62510OpenAlexW2134069175WikidataQ127356979 ScholiaQ127356979MaRDI QIDQ1305640
Publication date: 1998
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00115-2
Markov chain Monte CarloBayes factorsGibbs samplingHidden Markov modelMarginal likelihoodChange pointsMarkov mixture model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical analysis or methods applied to Markov chains (65C40)
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