On marginal likelihood computation in change-point models

DOI10.1016/j.csda.2010.06.025zbMath1255.62234OpenAlexW2124241409MaRDI QIDQ1927122

Jeroen V. K. Rombouts, Luc Bauwens

Publication date: 30 December 2012

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

Full work available at URL: http://www.uclouvain.be/cps/ucl/doc/core/documents/coredp2009_61web.pdf

zbMATH Keywords

BICChib's method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items

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Uses Software

• tsbridge

Cites Work

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