Bayesian multiple change-point estimation with annealing stochastic approximation Monte Carlo
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References listed on IDEAS
- 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.
- Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June.
- Gary M. Koop & Simon M. Potter, 2004.
"Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points,"
Discussion Papers in Economics
04/31, Department of Economics, University of Leicester.
- 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.
More about this item
KeywordsAnnealing Stochastic Approximation Monte Carlo (ASAMC); Bayesian change-point model; Bayes factor; BIC; Posterior; Truncated Poisson;
StatisticsAccess and download statistics
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