Bayesian methods for change-point detection in long-range dependent processes

Journal of Time Series Analysis

Volumn 23, Issue 6, 2002, Pages 687-705

  Ray, Bonnie K ^a   Tsay, Ruey S ^b  

^a IBM T J WATSON RESEARCH CENTER   (United States)

^b NONE

Author keywords

Gibbs sampler; Kalman filter; Long memory; Structural change

Indexed keywords

EID: 0039486629     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00286     Document Type: Article

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