Bayesian Estimation of Switching ARMA Models.

We propose in this paper a Bayesian approach with a noninformative prior distribution developed in Mengersen and Robert (1996) and Robert and Titterington (1996) in the setup of mixtures of distributions and hidden Markov models, respectively.

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Year of publication:	1996
Authors:	Billio, M. ; Monfort, A. ; Robert, C.P.
Subject:	STATISTICS \| ECONOMETRICS \| TIME SERIES

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Type of publication:	Book / Working Paper
Notes:	36 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C11 - Bayesian Analysis ; C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005780733