Periodic Markov switching autoregressive models for Bayesian analysis and forecasting of air pollution

DOI10.1191/1471082X04st062oazbMath1111.62084MaRDI QIDQ3429999

Luigi Spezia, Petros Dellaportas, Roberta Paroli

Publication date: 20 March 2007

Published in: Statistical Modelling (Search for Journal in Brave)

zbMATH Keywords

hidden Markov chainGibbs samplinglabel switchingpermutation samplingcarbon monoxideharmonic components

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Bayesian inference (62F15)

Cites Work

• Calculating posterior distributions and modal estimates in Markov mixture models
• Bayesian estimation of switching ARMA models
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• On Gibbs sampling for state space models
• Dealing With Label Switching in Mixture Models
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models

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