We consider the stochastic volatility model with regime switching. We model the unobserved regimesas a continuous-time latent or hidden Markov chain, with exponential waiting times. This allows us to identify the hidden regimes and compare the posterior probability of changes in regimes with...

Mixture models provide a convenient and flexible class of models for density estimation. They are typically used to model data generated from one of a number of different groups. This thesis studies two types of mixture models for density estimation from a Bayesian perspective. First, the...