Bayesian multiple structural change-points estimation in time series models with genetic algorithm

DOI10.1016/j.jkss.2013.02.001zbMath1294.62248MaRDI QIDQ395906

Chulwoo Jeong, Jae-Hee Kim

Publication date: 7 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2013.02.001

zbMATH Keywords

posterior; BIC; GDP; change-point; genetic algorithm (GA); Bayesian time series model with multiple structural changes; truncated Poisson

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

62J05: Linear regression; mixed models

62F15: Bayesian inference

Related Items

A Bayesian multiple structural change regression model with autocorrelated errors, Estimation and identification of periodic autoregressive models with one exogenous variable, Stochastic approximation Monte Carlo Gibbs sampling for structural change inference in a Bayesian heteroscedastic time series model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Structural breaks with deterministic and stochastic trends
• A Bayesian joinpoint regression model with an unknown number of break-points
• Fitting piecewise linear threshold autoregressive models by means of genetic algorithms
• Multiple change-point detection of multivariate mean vectors with the Bayesian approach
• Optimal changepoint tests for normal linear regression
• Detection of structural breaks in a time-varying heteroskedastic regression model
• Bayesian multiple change-point estimation with annealing stochastic approximation Monte Carlo
• A Bayesian regime-switching time-series model
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Break Detection for a Class of Nonlinear Time Series Models
• Testing for Structural Change in Dynamic Models
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Estimating and Testing Linear Models with Multiple Structural Changes
• Structural Break Estimation for Nonstationary Time Series Models