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Bayesian Inference for Switching Mean Models with ARMA Errors
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 Title & Authors
Bayesian Inference for Switching Mean Models with ARMA Errors
Son, Young Sook; Kim, Seong W.; Cho, Sinsup;
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 Abstract
Bayesian inference is considered for switching mean models with the ARMA errors. We use noninformative improper priors or uniform priors. The fractional Bayes factor of O`Hagan (1995) is used as the Bayesian tool for detecting the existence of a single change or multiple changes and the usual Bayes factor is used for identifying the orders of the ARMA error. Once the model is fully identified, the Gibbs sampler with the Metropolis-Hastings subchains is constructed to estimate parameters. Finally, we perform a simulation study to support theoretical results.
 Keywords
switching mean model;multiple change points;ARMA error;noninformative improper prior;fractional Bayes factor;Gibbs sampler;Metropolis-Hastings algorithm;
 Language
English
 Cited by
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