A Bayesian structural-change analysis via the stochastic approximation Monte Carlo and Gibbs sampler
DOI10.1080/00949655.2012.747525zbMATH Open1453.62068OpenAlexW2064450428MaRDI QIDQ5220000FDOQ5220000
Authors: Sooyoung Cheon, Jae Hee Kim 
Publication date: 9 March 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2012.747525
Recommendations
- 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
- Bayesian multiple structural change-points estimation in time series models with genetic algorithm
- Bayesian time series analysis of structural changes in level and trend
- Estimation and comparison of multiple change-point models
Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Stochastic approximation (62L20)
Cites Work
- Bayesian data analysis.
- Title not available (Why is that?)
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Markov chains for exploring posterior distributions. (With discussion)
- Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
- Hierarchical Bayesian Analysis of Changepoint Problems
- Stochastic Approximation in Monte Carlo Computation
- Title not available (Why is that?)
- Title not available (Why is that?)
- Adaptive Rejection Sampling for Gibbs Sampling
- Monte Carlo sampling methods using Markov chains and their applications
- A Stochastic Approximation Method
- CONTINUOUS INSPECTION SCHEMES
- Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
- Multiple change-point detection of multivariate mean vectors with the Bayesian approach
- Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
- Title not available (Why is that?)
- Equation of state calculations by fast computing machines
- Stability of Stochastic Approximation under Verifiable Conditions
- A test for a change in a parameter occurring at an unknown point
- Stochastic approximation and its applications
- Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms
- Further evidence on breaking trend functions in macroeconomic variables
- On problems in which a change in a parameter occurs at an unknown point
- Bayesian Retrospective Multiple-Changepoint Identification
- Title not available (Why is that?)
- Bayesian multiple change-point estimation with annealing stochastic approximation Monte Carlo
- Title not available (Why is that?)
- Title not available (Why is that?)
- Structural change and unit roots
- Quality control and reliability
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
Uses Software
This page was built for publication: A Bayesian structural-change analysis via the stochastic approximation Monte Carlo and Gibbs sampler
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5220000)
