Bayesian inference of C-AR(1) time series model with structural break

zbMath1382.62046MaRDI QIDQ1689088

Jitendra Kumar, Dahud Kehinde Shangodoyin, Ashok Kumar, Varun Agiwal

Publication date: 12 January 2018

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.as/1515035039

zbMATH Keywords

Gibbs samplerautoregressive modelBayesian inferenceposterior probabilitystructural breakcovariate

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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