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Bayesian Inference for Structural Changes in Time Series Models

Bayesian Inference for Structural Changes in Time Series Models

Paperback

Probability & Statistics

ISBN10: 384431492X
ISBN13: 9783844314922
Publisher: Lap Lambert Academic Pub
Published: Mar 2 2011
Pages: 120
Weight: 0.41
Height: 0.28 Width: 6.00 Depth: 9.00
Language: English
This monograph provides Bayesian inference for change point problems through Mixture model approach in Time series models viz., changes in mean of the time series with and without auto correlated errors, variance changes in the time series model and order changes in the time series models. MCMC technique is used to obtain the numerical solutions. The main aim of the numerical study is to illustrate the evaluation of the estimates of the parameters on the basis of the methodology developed in this monograph.

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Probability & Statistics