A Bayesian structural-change analysis via the stochastic approximation Monte Carlo and Gibbs sampler
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Publication:5220000
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- A Stochastic Approximation Method
- A test for a change in a parameter occurring at an unknown point
- Adaptive Rejection Sampling for Gibbs Sampling
- Bayesian Retrospective Multiple-Changepoint Identification
- Bayesian data analysis.
- Bayesian multiple change-point estimation with annealing stochastic approximation Monte Carlo
- CONTINUOUS INSPECTION SCHEMES
- Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
- Equation of state calculations by fast computing machines
- Further evidence on breaking trend functions in macroeconomic variables
- Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
- Hierarchical Bayesian Analysis of Changepoint Problems
- Markov chains for exploring posterior distributions. (With discussion)
- Monte Carlo sampling methods using Markov chains and their applications
- Multiple change-point detection of multivariate mean vectors with the Bayesian approach
- On problems in which a change in a parameter occurs at an unknown point
- Quality control and reliability
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms
- Stability of Stochastic Approximation under Verifiable Conditions
- Stochastic Approximation in Monte Carlo Computation
- Stochastic approximation and its applications
- Structural change and unit roots
- Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
Cited in
(6)- Bayesian multiple structural change-points estimation in time series models with genetic algorithm
- A Bayesian detection of structural changes in autoregressive time series models
- Stochastic approximation Monte Carlo Gibbs sampling for structural change inference in a Bayesian heteroscedastic time series model
- Bayesian multiple change-point estimation with annealing stochastic approximation Monte Carlo
- A Gibbs sampler for structural vector autoregressions
- Bayesian time series analysis of structural changes in level and trend
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