Bayesian Estimation of Switching ARMA Models

Monica Billio (), Alain Monfort () and C.P. Robert

Working Papers from Institut National de la Statistique et des Etudes Economiques-

Abstract: We propose in this paper a Bayesian approach with a noninformative prior distribution developed in Mengersen and Robert (1996) and Robert and Titterington (1996) in the setup of mixtures of distributions and hidden Markov models, respectively.

Keywords: STATISTICS; ECONOMETRICS; TIME SERIES (search for similar items in EconPapers)
JEL-codes: C10 C11 C20 C22 (search for similar items in EconPapers)
Date: 1996
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Journal Article: Bayesian estimation of switching ARMA models (1999)
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