Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables

DOI10.1016/j.csda.2007.09.020zbMath1452.62671OpenAlexW2064238346MaRDI QIDQ1023565

Roberta Paroli, Luigi Spezia

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.09.020

zbMATH Keywords

hidden Markov chainregime switchingmarginal likelihoodpermutation samplingmetropolized-Kuo-Mallick

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Bayesian inference (62F15)

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