A Bayesian analysis of a change in the parameters of autoregressive time series

DOI10.1080/03610918.2016.1222423zbMath1462.62551OpenAlexW2522150281MaRDI QIDQ4607356

Hafida Saggou, Abdeldjalil Slama

Publication date: 13 March 2018

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2016.1222423

zbMATH Keywords

Bayesian analysisGibbs samplerautoregressive model\(p\)-valueschange pointHPD credible set

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Bayesian inference (62F15)

Related Items (4)

Maximum likelihood estimation of the change point in stationary state of auto regressive moving average (ARMA) models, using SVD-based smoothing ⋮ Estimating a gradual parameter change in an AR(1)-process ⋮ Bayesian inference in a multiple contaminated autoregressive model with trend ⋮ A Bayesian detection of structural changes in autoregressive time series models

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