Bayesian estimation of switching ARMA models

DOI10.1016/S0304-4076(99)00010-XzbMath1070.62515WikidataQ126548674 ScholiaQ126548674MaRDI QIDQ1808545

Yanyan Li

Publication date: 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Markov modelARMA modelMCMC algorithmHidden Markov chainMoving average modelConvergence controlPrior feedback

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items

Efficient Gibbs sampling for Markov switching GARCH models, Long memory and nonlinearities in realized volatility: a Markov switching approach, Estimation of weak ARMA models with regime changes, Stationarity of multivariate Markov-switching ARMA models, Forecasting with non-homogeneous hidden Markov models, OLS estimation of Markov switching VAR models: asymptotics and application to energy use, Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables, A Bayesian regime-switching time-series model, Forecasting with non-homogeneous hidden Markov models, Periodic Markov switching autoregressive models for Bayesian analysis and forecasting of air pollution

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