MCMC Estimation of Classical and Dynamic Switching and Mixture Models

MCMC Estimation of Classical and Dynamic Switching and Mixture Models

In the present paper we discuss Bayesian estimation of a very general model class where the distribution of the observations is assumed to depend on a latent mixture or switching variable taking values in a discrete state space. This model class covers e.g. finite mixture modelling, Markov switching...

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Bibliographic Details
Main Author: Frühwirth-Schnatter, Sylvia
Format: Others
Language:en
Published: Department of Statistics and Mathematics, WU Vienna University of Economics and Business 1998
Subjects:
Bayesian analysis / dynamic linear models / Markov Chain Monte Carlo methods / Markov switching models / finite mixture models
Online Access:http://epub.wu.ac.at/698/1/document.pdf

Internet

http://epub.wu.ac.at/698/1/document.pdf

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