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)

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)

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Cites work

• scientific article; zbMATH DE number 720679 (Why is no real title available?)
• scientific article; zbMATH DE number 1522711 (Why is no real title available?)
• scientific article; zbMATH DE number 840151 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• Markov chains for exploring posterior distributions. (With discussion)
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Partial non-Gaussian state space
• Randomly Choosing Parameters from the Stationarity and Invertibility Region of Autoregressive-Moving Average Models
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Sampling-Based Approaches to Calculating Marginal Densities
• Switching state-space models: likelihood function, filtering and smoothing
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Cited in

(17)

• scientific article; zbMATH DE number 6929012 (Why is no real title available?)
• OLS estimation of Markov switching VAR models: asymptotics and application to energy use
• Periodic Markov switching autoregressive models for Bayesian analysis and forecasting of air pollution
• Efficient Gibbs sampling for Markov switching GARCH models
• A Bayesian regime-switching time-series model
• Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models
• Seasonal autoregressions with regime switching
• Stationarity of multivariate Markov-switching ARMA models
• Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables
• CPO plots for ARMA model selection
• Fully Bayesian analysis of switching Gaussian state space models
• Estimation of weak ARMA models with regime changes
• Bayesian Comparison of ARIMA and Stationary ARMA Models
• Long memory and nonlinearities in realized volatility: a Markov switching approach
• Forecasting with non-homogeneous hidden Markov models
• Adaptive prediction for ARMA processes with Markov switching parameters
• Forecasting with non-homogeneous hidden Markov models

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