Bayesian Time Series Analysis of Structural Changes in Level and Trend

DOI10.1080/03610926.2011.642918zbMath1462.62111OpenAlexW1988418558MaRDI QIDQ2864675

Heung Wong, Jin-Shan Liu, Jian Yan Long, Wai-Cheung Ip

Publication date: 26 November 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.642918

zbMATH Keywords

MCMCstructural changesM-H algorithmBayesian time series analysisBayesian stochastic search selection

Mathematics Subject Classification ID

Multivariate analysis (62H99) Exact distribution theory in statistics (62E15)

Related Items (1)

A first order autoregressive process with a change point: a Bayesian approach based on model selection

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