Fully Bayesian Analysis of Switching Gaussian State Space Models
No abstract is available for this item.
Volume (Year): 53 (2001)
Issue (Month): 1 (March)
|Contact details of provider:|| Web page: http://www.springer.com|
Web page: http://www.ism.ac.jp/index_e.html
|Order Information:||Web: http://www.springer.com/statistics/journal/10463/PS2|
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.:
- 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.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 361-393.
- Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388.
- Kim, C-J., 1991.
"Dynamic Linear Models with Markov-Switching,"
91-8, York (Canada) - Department of Economics.
- Carter, C.K. & Kohn, R., . "Markov Chain Monte Carlo in Conditionally Gaussian State Space Models," Statistics Working Paper _003, Australian Graduate School of Management.
When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:53:y:2001:i:1:p:31-49. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.