Bassetti, Federico; Casarin, Roberto; Leisen, Fabrizio - Dipartimento di Economia, Università Ca' Foscari Venezia - 2013
Multiple time series data may exhibit clustering over time and the clustering effect may change across different series. This paper is motivated by the Bayesian non–parametric modelling of the dependence between clustering effects in multiple time series analysis. We follow a Dirichlet process...