Bayesian model choice based on Monte Carlo estimates of posterior model probabilities
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References listed on IDEAS
- Kadane, Joseph B. & Lazar, Nicole A., 2004. "Methods and Criteria for Model Selection," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 279-290, January.
- Scott S. L., 2002. "Bayesian Methods for Hidden Markov Models: Recursive Computing in the 21st Century," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 337-351, March.
- Song, Xin-Yuan & Lee, Sik-Yum, 2002. "A Bayesian model selection method with applications," Computational Statistics & Data Analysis, Elsevier, vol. 40(3), pages 539-557, September.
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- Cathy W. S. Chen & Richard H. Gerlach & Ann M. H. Lin, 2010. "Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(1), pages 28-49, January.
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