Bauwens, Luc; Rombouts, Jeroen V.K. - Centre Interuniversitaire sur le Risque, les Politiques … - 2009
Change-point models are useful for modeling times series subject to structural breaks. For interpretation and forecasting, it is essential to estimate correctly the number of change points in this class of models. In Bayesian inference, the number of change-points is typically chosen by the...