Efficient Bayesian estimation of the multivariate double chain Markov model

DOI10.1007/s11222-012-9323-yzbMath1325.62164OpenAlexW2066497213MaRDI QIDQ892425

Dobrin Marchev, Matthew Fitzpatrick

Publication date: 19 November 2015

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-012-9323-y

zbMATH Keywords

hidden Markov modelMarkov chain Monte CarloGibbs samplerdata augmentationdouble chain Markov modelratings migration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Economic time series analysis (91B84) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Portfolio theory (91G10)

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