Markov chain Monte Carlo methods for switching diffusion models

DOI10.1093/biomet/88.2.299zbMath0984.62060OpenAlexW2150097559MaRDI QIDQ2775626

Gareth O. Roberts, John C. Liechty

Publication date: 14 May 2002

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/a99e897b01a257b759e4377220e5458e36979a30

zbMATH Keywords

reversible jump Markov chain Monte Carlotime series modelvariable dimensionchangepoint model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40)

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