Bayesian multiple structural change-points estimation in time series models with genetic algorithm
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Publication:395906
DOI10.1016/j.jkss.2013.02.001zbMath1294.62248MaRDI QIDQ395906
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
posterior; BIC; GDP; change-point; genetic algorithm (GA); Bayesian time series model with multiple structural changes; truncated Poisson
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05: Linear regression; mixed models
62F15: Bayesian inference
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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
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