Bayesian estimation of switching ARMA models

DOI10.1016/S0304-4076(99)00010-XzbMATH Open1070.62515WikidataQ126548674 ScholiaQ126548674MaRDI QIDQ1808545FDOQ1808545

Authors: Yanyan Li 

Publication date: 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

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zbMATH Keywords

ARMA modelMCMC algorithmMarkov modelHidden Markov chainMoving average modelConvergence controlPrior feedback

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

Cites Work

• Markov chains for exploring posterior distributions. (With discussion)
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• The Calculation of Posterior Distributions by Data Augmentation
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Partial non-Gaussian state space
• Sampling-Based Approaches to Calculating Marginal Densities
• Title not available (Why is that?)
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• Bayes inference in regression models with ARMA\((p,q)\) errors
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Switching state-space models: likelihood function, filtering and smoothing
• Title not available (Why is that?)
• Randomly Choosing Parameters from the Stationarity and Invertibility Region of Autoregressive-Moving Average Models
• Bayesian estimation of an autoregressive model using Markov chain Monte Carlo

Cited In (17)

• Seasonal autoregressions with regime switching
• Estimation of weak ARMA models with regime changes
• Forecasting with non-homogeneous hidden Markov models
• A Bayesian regime-switching time-series model
• Long memory and nonlinearities in realized volatility: a Markov switching approach
• CPO plots for ARMA model selection
• Title not available (Why is that?)
• Bayesian Comparison of ARIMA and Stationary ARMA Models
• Efficient Gibbs sampling for Markov switching GARCH models
• Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables
• Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models
• OLS estimation of Markov switching VAR models: asymptotics and application to energy use
• Stationarity of multivariate Markov-switching ARMA models
• Forecasting with non-homogeneous hidden Markov models
• Adaptive prediction for ARMA processes with Markov switching parameters
• Periodic Markov switching autoregressive models for Bayesian analysis and forecasting of air pollution
• Fully Bayesian analysis of switching Gaussian state space models

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