A Bayesian estimation procedure is developed for estimating multiple regime vector autoregressive models appropriate for deviations from financial arbitrage relationships. This approach has clear advantages over classical stepwise threshold autoregressive analysis.

The segmentation problem arises in many applications in data mining, A.I. and statistics. In this paper, we consider segmenting simple time series. We develop two Bayesian approaches for segmenting a time series, namely the Bayes Factor approach, and the Minimum Message Length (MML) approach. We...

This paper derives six different forms of message length functions for general linear regression model. In so doing, two different prior densities and the idea of parameter orthogonality are employed.

The presence of nuisance parameters causes unwanted complications in statistical and econometric inference procedures. A number of modified likelihood and message length functions have been developed for better handling of nuisance parameters but they are not equally efficient. In this paper, we...

This paper illustrates the use of Kullback-Leibler Information (KLI) measure for assessing the relative quality of two approximations to an unknown distribution from which we ca obtain simple random drawings.