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Specific Markov-switching behaviour for ARMA parameters

Jean-François Carpantier; Arnaud Dufays
Year of publication:
2014
Authors: Carpantier, Jean-François ; Dufays, Arnaud
Publisher: Luxembourg : Univ. of Luxembourg, Fac. of Law, Economics and Finance, Center for Research in Economics and Management
Subject: Bayesian inference | Markov-switching model | ARMA model | Infinite hiddenMarkov model | Dirichlet Process | ARMA-Modell | Markov-Kette | Markov chain | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Bayes-Statistik
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