Parameter changes in a regression model with autocorrelated errors

DOI10.1080/03610928108828146MaRDI QIDQ3936064zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 3548305 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• Bayesian inferences related to shifting sequences and two-phase regression
• Forecasting contemporal time series aggregates
• Some Bayesian Inferences for a Changing Linear Model

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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