Parameter changes in a regression model with autocorrelated errors

DOI10.1080/03610928108828146zbMath0478.62073OpenAlexW2009238706MaRDI QIDQ3936064

Diego Salazar, L. D. Broemeling, Albert Chi

Publication date: 1981

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928108828146

zbMATH Keywords

posterior distributionchange pointnumerical studynormal-gamma prior

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (6)

A Bayesian Analysis of a Structural Change in the Parameters of a Time Series ⋮ A gradual switching regression model with autocorrelated errors ⋮ On Tests of Trend in a Weakly Stationary Time Series ⋮ Estimating coefficients of two-phase linear regression model with autocorrelated errors ⋮ Bayesian analysis of a linear model involving structural changes in either regression parameters or disturbances precision ⋮ Change-point problems: bibliography and review

Cites Work

• Some Bayesian Inferences for a Changing Linear Model
• Forecasting contemporal time series aggregates
• Bayesian inferences related to shifting sequences and two-phase regression
• Unnamed Item
• Unnamed Item

This page was built for publication: Parameter changes in a regression model with autocorrelated errors