Autoregressive models with piecewise constant volatility and regression parameters

Statistica Sinica

Volumn 15, Issue 2, 2005, Pages 279-301

  Lai, Tze Leung ^a   Liu, Haiyan ^a   Xing, Haipeng ^a  

^a STANFORD UNIVERSITY   (United States)

Author keywords

Bayesian inference; Bounded complexity mixtures; Change point problems; Filtering; Sequential Monte Carlo; Smoothing

Indexed keywords

EID: 20444435170     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Conference Paper

References (13)

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