Stochastic approximation Monte Carlo Gibbs sampling for structural change inference in a Bayesian heteroscedastic time series model

DOI10.1080/02664763.2014.909782zbMath1352.62137OpenAlexW2006843207MaRDI QIDQ2953278

Sooyoung Cheon, Jae-Hee Kim

Publication date: 4 January 2017

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2014.909782

zbMATH Keywords

multiple structural changesGibbs samplingstochastic approximation Monte CarloBayesian time series modelheteroscedastic autoregressive process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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