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~institution:"Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain"
~institution:"Centre for Innovation, Research and Competence in the Learning Economy (CIRCLE), Lunds Universitet"
~person:"DUFAYS, Arnaud"
~source:"repec"
~subject:"Bayesian inference"
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Search: ("Cohesion" OR "Convergence" OR "Regional policy" OR "Spatial structure" OR "Structural change" OR "Structural funds" OR "Territorial disparities") AND NOT isPartOf:Intereconomics
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Bayesian inference
break forecasting
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change-point
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differential evolution
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marginal likelihood
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recurrent states
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structural breaks
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DUFAYS, Arnaud
BAUWENS, Luc
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DE BACKER, Bruno
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ROMBOUTS, Jeroen V.K.
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Centre for Innovation, Research and Competence in the Learning Economy (CIRCLE), Lunds Universitet
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Estimating and forecasting structural breaks in financial time series
BAUWENS, Luc
;
DUFAYS, Arnaud
;
DE BACKER, Bruno
-
Center for Operations Research and Econometrics (CORE), …
-
2011
number of breaks is determined by the marginal likelihood criterion. We prove the
convergence
of the algorithm and we show …
Persistent link: https://www.econbiz.de/10010927663
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