A Bayesian analysis of multiple changes in the variance of first-order autoregressive time series models

zbMATH Open1260.62021MaRDI QIDQ4904070FDOQ4904070

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Publication date: 28 January 2013

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zbMATH Keywords

posterior distributionsautoregressive modelsvariance change

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (10)

• A first order autoregressive process with a change point: a Bayesian approach based on model selection
• A Bayesian analysis of a change in the parameters of autoregressive time series
• Title not available (Why is that?)
• Inference on variance components of autocorrelated sequences in the presence of drift
• Bayesian analysis of autoregressive time series with change points
• A detection procedure for variance change points in AR(1) models
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• A Bayesian Analysis of a Structural Change in the Parameters of a Time Series
• Bayesian Analysis of Structural Changes in Autoregressive Models
• Structural changes in AR(1) models: a Bayesian mixture approach

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