A note on Bayesian identification of change points in data sequences

Computers and Operations Research

Volumn 35, Issue 1, 2008, Pages 156-170

  Loschi, R H ^a   Cruz, F R B ^a   Takahashi, R H C ^a   Iglesias, P L ^b   Arellano Valle, R B ^b   MacGregor Smith, J ^c  

^a FEDERAL UNIVERSITY OF MINAS GERAIS   (Brazil)

^b PONTIFICIA UNIVERSIDAD CATÓLICA DE CHILE   (Chile)

^c University of Massachusetts   (United States)

Author keywords

Atypical observations; Heteroskedasticity; Structural changes

Indexed keywords

BAYESIAN NETWORKS; BROWNIAN MOVEMENT; COMPUTATIONAL METHODS; COMPUTER SIMULATION; MATHEMATICAL MODELS; MONTE CARLO METHODS; NUMERICAL METHODS; TIME SERIES ANALYSIS;

BAYESIAN IDENTIFICATION; BROWNIAN SHOCKS; HETEROSKEDASTICITY; MATHEMATICAL METHODS; NON-STATIONARY MODELS;

OPERATIONS RESEARCH;

EID: 34250214920     PISSN: 03050548     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cor.2006.02.018     Document Type: Article

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