Why bayes rules: A note on Bayesian vs. classical inference in regime switching models

By means of a very simple example, this note illustrates the appeal of using Bayesian rather than classical methods to produce inference on hidden states in models of Markovian regime switching.

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Year of publication:	2007
Authors:	Gärtner, Dennis
Publisher:	Zurich : University of Zurich, Socioeconomic Institute
Subject:	Bayes-Statistik \| Inferenzstatistik \| Markovscher Prozess \| Modellierung \| Bayesian analysis \| switching regression \| regime changes \| nonlinear filtering

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Series:	Working Paper ; 0719
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	612066231 [GVK] hdl:10419/76240 [Handle]
Classification:	C11 - Bayesian Analysis ; C22 - Time-Series Models
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010315598