A Monte Carlo Markov chain algorithm for a class of mixture time series models

DOI10.1007/S11222-009-9147-6MaRDI QIDQ692950zbMATH OpenOpenAlexFDO

Authors John W. Lau, Mike K. P. So

Publication date 6 December 2012

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-009-9147-6

zbMATH Keywords

GARCHDirichlet process priorBayesian nonparametricvolatility estimationBayesian Poisson calculusPoisson-Dirichlet process prior

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(7)

• scientific article; zbMATH DE number 1327261 (Why is no real title available?)
• Bayesian semiparametric Markov switching stochastic volatility model
• A conjugate class of random probability measures based on tilting and with its posterior analysis
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• Fitting timeseries by continuous-time Markov chains: a quadratic programming approach
• Bayesian non-parametric mixtures of GARCH(1,1) models
• scientific article; zbMATH DE number 1560259 (Why is no real title available?)

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