Identifying volatility clusters using the PPM: a sensitivity analysis
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Publication:2576754
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Cites work
- A Bayesian Analysis for Change Point Problems
- A Bayesian Analysis of a Change in the Precision of a Sequence of Independent Normal Random Variables at an Unknown Time Point
- A Bayesian approach to inference about a change-point in a sequence of random variables
- A Gibbs sampling scheme to the product partition model: an application to change-point problems
- An analysis of the influence of some prior specifications in the identification of change points via product partition model.
- Bayesian Clustering and Product Partition Models
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time
- Estimation of a noisy discrete-time step function: Bayes and empirical Bayes approaches
- On some characterizations of the \(t\)-distribution
- Product Partition Models for Normal Means
- Product partition models for change point problems
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