Structured priors for sparse probability vectors with application to model selection in Markov chains

DOI10.1007/s11222-019-09856-2zbMath1430.62194OpenAlexW2912693612MaRDI QIDQ2329821

Stephan Munch, Athanasios Kottas, Matthew Heiner

Publication date: 18 October 2019

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-019-09856-2

zbMATH Keywords

nonlinear dynamicssparsity priortime-series datageneralized Dirichlet distributionstick-breaking constructionmixture transition distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

Related Items

Autoregressive density modeling with the Gaussian process mixture transition distribution, Estimation and Selection for High-Order Markov Chains with Bayesian Mixture Transition Distribution Models, On Construction and Estimation of Stationary Mixture Transition Distribution Models, On a class of repulsive mixture models, Bayesian hierarchical stacking: some models are (somewhere) useful

Uses Software

• ggplot2
• Julia
• ggtern
• PEGS

Cites Work

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