A Bayesian detection of structural changes in autoregressive time series models

DOI10.32372/CHJS.13-01-03MaRDI QIDQ6066367zbMATH OpenOpenAlexFDO

Authors Abdeldjalil Slama

Publication date 16 November 2023

Published in Chilean Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.32372/chjs.13-01-03

zbMATH Keywords

\(p\)-valueBayesian analysischange pointGibbs samplerHPD credible set

Mathematics Subject Classification ID

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

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Cited in

(1)

• On the use of the concentration function to compare predictive distributions in ARMA models.

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