On marginal likelihood computation in change-point models

descriptionPublicationkeyboard_double_arrow_right Article , Research , Preprint 01 Nov 2012 Belgium English Publisher:Elsevier BVJournal:Computational Statistics & Data Analysis, volume 56, pages 3,415-3,429 (issn: 0167-9473,

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Authors: Luc Bauwens; Jeroen V. K. Rombouts;

doi: 10.1016/j.csda.2010.06.025

handle: 2078.1/28520

On marginal likelihood computation in change-point models

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Abstract

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Country

Belgium

Related Organizations

Université Catholique de Louvain
Belgium

Keywords

BIC, Change-point model, Chib's method, Marginal likelihood, Bayesian inference, Computational problems in statistics, marginal likelihood, Chib's method, Time series, auto-correlation, regression, etc. in statistics (GARCH), change-point model, BIC, BIC, change-point model, Chib's method, marginal likelihood, jel: jel:C53, jel: jel:C11, jel: jel:C22

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