Reversible Jump Markov Chain Monte Carlo Strategies for Bayesian Model Selection in Autoregressive Processes

DOI10.1111/j.1467-9892.2004.00380.xzbMath1062.62206OpenAlexW3122429434MaRDI QIDQ4677043

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Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.00380.x

zbMATH Keywords

autoregressive processesBayesian model selectionMonte Carlo strategiesreversible jump Markov chain

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

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