Bayesian Inference and Forecasting in Dynamic Neural Networks with Fully Markov Switching ARCH Noises

DOI10.1080/03610920701851805zbMath1143.62055MaRDI QIDQ3526064

Luigi Spezia, Roberta Paroli

Publication date: 24 September 2008

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

Full work available at URL: https://doi.org/10.1080/03610920701851805

zbMATH Keywords

hidden Markov chain; hidden nodes; identifiability constraints; evolutionary Monte Carlo algorithm

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F15: Bayesian inference

65C05: Monte Carlo methods

62M45: Neural nets and related approaches to inference from stochastic processes

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