Markov switching Dirichlet process mixture regression

DOI10.1214/09-BA430MaRDI QIDQ5962471zbMATH OpenFDO

Authors Athanasios Kottas, Matthew A. Taddy

Publication date 12 February 2016

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ba/1340369825

zbMATH Keywords

Dirichlet process priorhidden Markov modelMarkov chain Monte Carlomultivariate normal mixturestock-recruitment relationship

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Generalized linear models (logistic models) (62J12) Applications of statistics to environmental and related topics (62P12)

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Cited in

(15)

• Computational challenges and temporal dependence in Bayesian nonparametric models
• Bayesian nonparametric sparse VAR models
• Dirichlet process hidden Markov multiple change-point model
• Markov-switching model selection using Kullback-Leibler divergence
• Discovering hidden structures using mixture models: application to nonlinear time series processes
• Joint reconstruction and prediction of random dynamical systems under borrowing of strength
• Beta-product dependent Pitman-Yor processes for Bayesian inference
• Reinforced urn processes for credit risk models
• An application of Bayesian growth mixture modelling to estimate infection incidences from repeated serological tests
• Bayesian nonparametric density autoregression with lag selection
• Bayesian Nonparametric Panel Markov-Switching GARCH Models
• Markov-switching models with unknown error distributions: identification and inference within the Bayesian framework
• A dynamic latent-space model for asset clustering
• Bayesian dependent mixture models: a predictive comparison and survey
• Stick-breaking autoregressive processes

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