A Bayesian regime-switching time-series model

DOI10.1111/J.1467-9892.2010.00670.XzbMATH Open1416.62504OpenAlexW1832123258MaRDI QIDQ3103191FDOQ3103191

Authors: Sooyoung Cheon, Jae Hee Kim 

Publication date: 26 November 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00670.x

Recommendations

• Structural changes in AR(1) models: a Bayesian mixture approach
• A Bayesian analysis of some threshold switching models
• A transitional Markov switching autoregressive model
• Bayesian Analysis of Structural Changes in Autoregressive Models
• Bayesian estimation of switching ARMA models

zbMATH Keywords

autoregressive modelregime-switching modelBayesian information criterionstochastic approximation Monte Carloswitching points

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic approximation (62L20)

Cites Work

• Analysis of Financial Time Series
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Estimation and comparison of multiple change-point models
• A Stochastic Approximation Method
• Bayesian forecasting and dynamic models.
• Optimal stock liquidation in a regime switching model with finite time horizon
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• Specification testing in Markov-switching time-series models
• Bayesian estimation of switching ARMA models
• Autoregressive processes with data-driven regime switching

Cited In (12)

• Bayesian multiple structural change-points estimation in time series models with genetic algorithm
• A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors
• A descriptive method to evaluate the number of regimes in a switching autoregressive model
• A Bayesian multiple structural change regression model with autocorrelated errors
• A two-state regime switching autoregressive model with an application to river flow analysis
• A self-tuning model for inflation rate dynamics
• Zero-inflated regime-switching stochastic differential equation models for highly unbalanced multivariate, multi-subject time-series data
• Title not available (Why is that?)
• A new approach to model regime switching
• Bayesian estimation of switching ARMA models
• Time-series model with periodic stochastic regime switching. I: Theory
• Regime switching models for circular and linear time series

Uses Software

• FinTS

This page was built for publication: A Bayesian regime-switching time-series model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3103191)