Bayesian Estimation of Time Series Models with Change Points
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F15%3A43906541" target="_blank" >RIV/62156489:43110/15:43906541 - isvavai.cz</a>
Result on the web
<a href="http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf" target="_blank" >http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Bayesian Estimation of Time Series Models with Change Points
Original language description
Time series are frequently burdened with externally induced points of change due to political decisions, changed technology or natural causes. Change point model assumes that data were generated by random process depending on the different regimes or states. This paper applies a Bayesian approach to estimation of multiple change point model of time series. It is founded upon a definition of unobserved state variable indicating a regime for sampling the specific observation. It is as-sumed that one or more change-points separate the regimes. Position of the change-points is unknown and must be estimated. Markov Chain Monte Carlo method is chosen to generate samples from conditional distributions of the parameters. Com-parisons of alternative models arepossible with quality indicators utilizing the marginal log likelihood function, primarily the Bayes factor. Diagnostic tools check the mixing properties of the sampled Markov chains required at convergence. 95% Highest Posterior Density
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Mathematical Methods in Economics 2015: Conference Proceedings
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
1-6
Publisher name
Západočeská univerzita
Place of publication
Plzeň
Event location
Cheb
Event date
Sep 9, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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