Parameter changes in a regression model with autocorrelated errors

DOI10.1080/03610928108828146zbMATH Open0478.62073OpenAlexW2009238706MaRDI QIDQ3936064FDOQ3936064

Authors: Diego Alejandro Salazar, Lyle D. Broemeling, Albert Chi 

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1080/03610928108828146

zbMATH Keywords

change pointnormal-gamma priorposterior distributionnumerical study

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Forecasting contemporal time series aggregates
• Some Bayesian Inferences for a Changing Linear Model
• Title not available (Why is that?)
• Bayesian inferences related to shifting sequences and two-phase regression

Cited In (6)

• Estimating coefficients of two-phase linear regression model with autocorrelated errors
• On Tests of Trend in a Weakly Stationary Time Series
• A Bayesian Analysis of a Structural Change in the Parameters of a Time Series
• Bayesian analysis of a linear model involving structural changes in either regression parameters or disturbances precision
• A gradual switching regression model with autocorrelated errors
• Change-point problems: bibliography and review

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