A Bayesian analysis of a change in the parameters of autoregressive time series
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Publication:4607356
DOI10.1080/03610918.2016.1222423zbMATH Open1462.62551OpenAlexW2522150281MaRDI QIDQ4607356FDOQ4607356
Authors: Abdeldjalil Slama, Hafida Saggou 
Publication date: 13 March 2018
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2016.1222423
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Parametric hypothesis testing (62F03) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cited In (12)
- A first order autoregressive process with a change point: a Bayesian approach based on model selection
- A Bayesian analysis of multiple changes in the variance of first-order autoregressive time series models
- Bayesian analysis of autoregressive time series with change points
- A Bayesian Analysis of a Structural Change in the Parameters of a Time Series
- Bayesian inference in a multiple contaminated autoregressive model with trend
- A Bayesian detection of structural changes in autoregressive time series models
- Bayesian methods for change-point detection in long-range dependent processes
- Estimating a gradual parameter change in an AR(1)-process
- Maximum likelihood estimation of the change point in stationary state of auto regressive moving average (ARMA) models, using SVD-based smoothing
- Bayesian Analysis of Structural Changes in Autoregressive Models
- Structural changes in AR(1) models: a Bayesian mixture approach
- Using a Bayesian change-point statistical model with autoregressive terms to study the monthly number of dispensed asthma medications by public health services
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