Ko, Stanley I. M.; Chong, Terence T. L.; Ghosh, Pulak - Volkswirtschaftliche Fakultät, … - 2014
This paper proposes a new Bayesian multiple change-point model which is based on the hidden Markov approach. The … Dirichlet process hidden Markov model does not require the specification of the number of change-points a priori. Hence our … model is robust to model specification in contrast to the fully parametric Bayesian model. We propose a general Markov chain …