Efficient Bayesian estimation of the multivariate double chain Markov model
DOI10.1007/S11222-012-9323-YzbMATH Open1325.62164OpenAlexW2066497213MaRDI QIDQ892425FDOQ892425
Dobrin Marchev, Matthew Fitzpatrick
Publication date: 19 November 2015
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-012-9323-y
Markov chain Monte Carlodata augmentationGibbs samplerhidden Markov modeldouble chain Markov modelratings migration
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Portfolio theory (91G10)
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Cited In (5)
- Malware Family Discovery Using Reversible Jump MCMC Sampling of Regimes
- Bayesian multiple changepoints detection for Markov jump processes
- Non-stationary data segmentation with hidden evidential semi-Markov chains
- The double chain markov model
- Modeling the coupled return-spread high frequency dynamics of large tick assets
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