On marginal likelihood computation in change-point models
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Publication:1927122
DOI10.1016/j.csda.2010.06.025zbMath1255.62234MaRDI QIDQ1927122
Jeroen V. K. Rombouts, Luc Bauwens
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://www.uclouvain.be/cps/ucl/doc/core/documents/coredp2009_61web.pdf
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F15: Bayesian inference
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