A Bayesian regime-switching time-series model

DOI10.1111/J.1467-9892.2010.00670.XMaRDI QIDQ3103191zbMATHOpenAlexFDO

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

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)

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Cites work

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

Cited in

(12)

• Regime switching models for circular and linear time series
• Zero-inflated regime-switching stochastic differential equation models for highly unbalanced multivariate, multi-subject time-series data
• A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors
• A new approach to model regime switching
• A two-state regime switching autoregressive model with an application to river flow analysis
• A Bayesian multiple structural change regression model with autocorrelated errors
• Bayesian multiple structural change-points estimation in time series models with genetic algorithm
• Bayesian estimation of switching ARMA models
• A self-tuning model for inflation rate dynamics
• scientific article; zbMATH DE number 7247632 (Why is no real title available?)
• A descriptive method to evaluate the number of regimes in a switching autoregressive model
• Time-series model with periodic stochastic regime switching. I: Theory

Describes a project that uses

Uses Software

• FinTS

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