Bayesian detection of structural changes
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References listed on IDEAS
- Tsurumi, Hiroki & Wago, Hajime & Ilmakunnas, Pekka, 1986. "Gradual switching multivariate regression models with stochastic cross-equational constraints and an application to the Klem translog production model," Journal of Econometrics, Elsevier, vol. 31(3), pages 235-253, April.
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- Henri Caussinus & Faouzi Lyazrhi, 1997. "Choosing a Linear Model with a Random Number of Change-Points and Outliers," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, pages 761-775.
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KeywordsBayesian inference; change point; predictive log likelihood; Lindisfarne scribes problem; regression;
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