A Bayesian multiple structural change regression model with autocorrelated errors

DOI10.1080/02664763.2015.1117592OpenAlexW2315930336MaRDI QIDQ5138116

Chulwoo Jeong, Jae-Hee Kim

Publication date: 3 December 2020

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

Full work available at URL: https://doi.org/10.1080/02664763.2015.1117592

zbMATH Keywords

posteriorgenetic algorithmautoregressive processBayesian time series model with multiple structural changestruncated Poisson

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• BayesDA

Cites Work

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• Testing for Structural Change in Dynamic Models
• The problem of the Nile: Conditional solution to a changepoint problem
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Estimating and Testing Linear Models with Multiple Structural Changes
• Multiple Change-Point Estimation With a Total Variation Penalty
• Sequential One-Sample Grouped Signed Rank Tests for Symmetry: Basic Procedures
• Structural Break Estimation for Nonstationary Time Series Models

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