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Bayesian multiple change-point estimation with annealing stochastic approximation Monte Carlo

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  • Jaehee Kim

  • Sooyoung Cheon

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  • Jaehee Kim & Sooyoung Cheon, 2010. "Bayesian multiple change-point estimation with annealing stochastic approximation Monte Carlo," Computational Statistics, Springer, vol. 25(2), pages 215-239, June.
    • Handle: RePEc:spr:compst:v:25:y:2010:i:2:p:215-239
    DOI: 10.1007/s00180-009-0172-x
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    References listed on IDEAS

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    1. Liang, Faming & Liu, Chuanhai & Carroll, Raymond J., 2007. "Stochastic Approximation in Monte Carlo Computation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 305-320, March.
    2. Venter, J. H. & Steel, S. J., 1996. "Finding multiple abrupt change points," Computational Statistics & Data Analysis, Elsevier, vol. 22(5), pages 481-504, September.
    3. Gary Koop & Simon M. Potter, 2004. "Forecasting and estimating multiple change-point models with an unknown number of change points," Staff Reports 196, Federal Reserve Bank of New York.
    4. Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June.
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    Cited by:

    1. Jaehee Kim & Chulwoo Jeong, 2016. "A Bayesian multiple structural change regression model with autocorrelated errors," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(9), pages 1690-1705, July.

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