A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models

Statistical Papers

Volumn 47, Issue 4, 2006, Pages 525-549

  Miazhynskaia, Tatiana ^a   Dorffner, Georg ^b  

^a AUSTRIAN RESEARCH INSTITUTE FOR ARTIFICIAL INTELLIGENCE   (Austria)

^b MEDICAL UNIVERSITY OF VIENNA   (Austria)

Author keywords

Bayesian inference; Bayesian model selection; GARCH models; Markov Chain Monte Carlo (MCMC); Model likelihood

Indexed keywords

EID: 33748438405     PISSN: 09325026     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00362-006-0305-z     Document Type: Article

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