van Dijk, Herman K.; Kleijn, Kleijn, R.H. - Faculteit der Economische Wetenschappen, Erasmus … - 2003
A flexible decomposition of a time series into stochastic cycles under possible non-stationarity is specified, providing both a useful data analysis tool and a very wide model class. A Bayes procedure using Markov Chain Monte Carlo (MCMC) is introduced with a model averaging approach which...