A first order autoregressive process with a change point: a Bayesian approach based on model selection
From MaRDI portal
Publication:2219423
zbMath1457.62265MaRDI QIDQ2219423
Chellai Fatih, Rachid Benamirouche, Ahmed Hamimes
Publication date: 20 January 2021
Published in: Afrika Statistika (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.as/1610420419
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- A Bayesian test of a parameter shift and an application
- Bayesian detection of a change of scale parameter in sequences of independent gamma random variables
- Change point estimation by local linear smoothing
- A first order autoregressive process with a change point: a Bayesian approach based on model selection
- Bayesian Time Series Analysis of Structural Changes in Level and Trend
- Bayesian change-point problem using Bayes factor with hierarchical prior distribution
- A Bayesian Analysis of a Structural Change in the Parameters of a Time Series
- Constant hazard against a change-point alternative: a bayesian approach with censored data
- Detection of change points using rank methods
- Structural changes in multivariate regression models
- A Bayesian Analysis of a Switching Regression Model: Known Number of Regimes
- A Bayesian approach to inference about a change-point in a sequence of random variables
- A Predictive Approach to Model Selection
- On Optimum Methods in Quickest Detection Problems
- Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time
- The Deviance Information Criterion: 12 Years on
This page was built for publication: A first order autoregressive process with a change point: a Bayesian approach based on model selection
