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

DOI10.1007/S11222-009-9147-6zbMATH Open1274.62603OpenAlexW2083445541MaRDI QIDQ692950FDOQ692950

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

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GARCH Dirichlet process prior Bayesian nonparametric volatility estimation Bayesian Poisson calculus Poisson-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)

Cites Work

Modelling heterogeneity with and without the Dirichlet process
Generalized autoregressive conditional heteroscedasticity
Bayesian Density Estimation and Inference Using Mixtures
On a logistic mixture autoregressive model
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Title not available (Why is that?)
Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
On a Mixture Autoregressive Conditional Heteroscedastic Model
Estimating normal means with a conjugate style dirichlet process prior
On a Mixture Autoregressive Model
Order-Based Dependent Dirichlet Processes
A Bayesian analysis of some nonparametric problems
Marginal Likelihood from the Gibbs Output
Conditional Heteroskedasticity in Asset Returns: A New Approach
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Gibbs Sampling Methods for Stick-Breaking Priors
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Marginal Likelihood and Bayes Factors for Dirichlet Process Mixture Models
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Modelling long-term investment returns via Bayesian infinite mixture time series models
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Asymmetric multivariate normal mixture GARCH
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Efficient MCMC schemes for robust model extensions using encompassing Dirichlet process mixture models
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Bayesian mixture of autoregressive models
Some further developments for stick-breaking priors: finite and infinite clustering and classifica\-tion
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Using the gibbs sampler to simulate from the bayes estimate of a decreasing density

Cited In (7)

Bayesian semiparametric Markov switching stochastic volatility model
Fitting timeseries by continuous-time Markov chains: a quadratic programming approach
Title not available (Why is that?)
Bayesian non-parametric mixtures of GARCH(1,1) models
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
Title not available (Why is that?)

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