Efficient Bayesian inference for multiple change-point and mixture innovation models

Journal of Business and Economic Statistics

Volumn 26, Issue 1, 2008, Pages 66-77

  Giordani, Paolo ^a   Kohn, Robert ^b  

^a Research Department   (Russian Federation)

^b UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Adaptive Metropolis Hastings; Discrete latent variables; Parameter instability; State space; Structural breaks

Indexed keywords

EID: 38349077088     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500107000000241     Document Type: Article

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