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Fully Bayesian Analysis of Switching Gaussian State Space Models

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  • Sylvia Frühwirth-Schnatter

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    Abstract

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    File URL: http://hdl.handle.net/10.1023/A:1017908219076
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    Bibliographic Info

    Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

    Volume (Year): 53 (2001)
    Issue (Month): 1 (March)
    Pages: 31-49

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    Handle: RePEc:spr:aistmt:v:53:y:2001:i:1:p:31-49

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    Web page: http://www.springerlink.com/link.asp?id=102845

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    Related research

    Keywords: Bayesian analysis; bridge sampling; Markov switching models; MCMC methods; model selection; state space models;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 361-93, July.
    2. Carter, C.K. & Kohn, R., . "Markov Chain Monte Carlo in Conditionally Gaussian State Space Models," Statistics Working Paper _003, Australian Graduate School of Management.
    3. Kim, Chang-Jin, 1994. "Dynamic linear models with Markov-switching," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 1-22.
    4. Sylvia Kaufmann, 2000. "Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 39-65.
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    Cited by:
    1. David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk, 2008. "Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation," Tinbergen Institute Discussion Papers 08-062/4, Tinbergen Institute, revised 15 Dec 2008.
    2. Miguel, Belmonte & Gary, Koop, 2013. "Model Switching and Model Averaging in Time- Varying Parameter Regression Models," SIRE Discussion Papers 2013-34, Scottish Institute for Research in Economics (SIRE).
    3. Manshu Yang & Sy-Miin Chow, 2010. "Using State-Space Model with Regime Switching to Represent the Dynamics of Facial Electromyography (EMG) Data," Psychometrika, Springer, vol. 75(4), pages 744-771, December.
    4. David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk, . "Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit," Journal of Statistical Software, American Statistical Association, vol. 29(i03).
    5. Sylvia Fruhwirth-Schnattaer & Sylvia Kaufmann, 2000. "Bayesian Analysis of Switching ARCH Models," Econometric Society World Congress 2000 Contributed Papers 1381, Econometric Society.
    6. David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk, 2008. "Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation," Tinbergen Institute Discussion Papers 08-062/4, Tinbergen Institute, revised 15 Dec 2008.

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