A two-state regime switching autoregressive model with an application to river flow analysis

DOI10.1016/j.jspi.2006.05.019zbMath1114.62093OpenAlexW2155428587MaRDI QIDQ997301

Krisztina Vasas, László Márkus, Péter Elek

Publication date: 23 July 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2006.05.019

zbMATH Keywords

reversible jump MCMCchange point detectionregime switching autoregressive modelriver flow analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Bayesian inference (62F15) Hydrology, hydrography, oceanography (86A05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (7)

Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices ⋮ Some new concepts and their computational formulae in aggregated stochastic processes with classifications based on sojourn times ⋮ Autocopulas: investigating the interdependence structure of stationary time series ⋮ Tail behaviour and extremes of two-state Markov-switching autoregressive models ⋮ Modelling extremes of time-dependent data by Markov-switching structures ⋮ Malware Family Discovery Using Reversible Jump MCMC Sampling of Regimes ⋮ Active mode recognition of dynamic systems

Cites Work

• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• On the shot-noise streamflow model and its applications
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Bayesian Detection of Clusters and Discontinuities in Disease Maps
• An application of MCMC methods for the multiple change-points problem.
• Stationarity of multivariate Markov-switching ARMA models

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