Bayesian estimation of switching ARMA models

Journal of Econometrics

Volumn 93, Issue 2, 1999, Pages 229-255

  Billio, M ^a,b   Monfort, A ^a   Robert, C P ^a  

^a CREST   (France)

^b CA' FOSCARI UNIVERSITY OF VENICE   (Italy)

Author keywords

ARMA model; Convergence control; Hidden Markov chain; Markov model; MCMC algorithm; Moving average model; Prior feedback

Indexed keywords

EID: 0001958038     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00010-X     Document Type: Article

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