Bayesian analysis of autoregressive time series with change points

DOI10.1007/BF03178933zbMath1454.62253MaRDI QIDQ5123761

Maria Maddalena Barbieri, C. Conigliani

Publication date: 29 September 2020

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

zbMATH Keywords

autoregressive time seriesfractional Bayes factorchange in the meannon-informative prior distributions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (1)

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

Cites Work

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