Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
From MaRDI portal
Publication:3142139
DOI10.2307/2290788zbMath0800.62165MaRDI QIDQ3142139
Robert E. McCulloch, Ruey S. Tsay
Publication date: 9 January 1994
Full work available at URL: https://doi.org/10.2307/2290788
probit model; Gibbs sampler; outlier; variance change; random level-shift model; random variance-shift model
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F15: Bayesian inference
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