NDLI: Fully Bayesian Analysis of Switching Gaussian State Space Models

Content Provider	Springer Nature Link
Author	Frühwirth Schnatter, Sylvia
Copyright Year	2001
Abstract	In the present paper we study switching state space models from a Bayesian point of view. We discuss various MCMC methods for Bayesian estimation, among them unconstrained Gibbs sampling, constrained sampling and permutation sampling. We address in detail the problem of unidentifiability, and discuss potential information available from an unidentified model. Furthermore the paper discusses issues in model selection such as selecting the number of states or testing for the presence of Markov switching heterogeneity. The model likelihoods of all possible hypotheses are estimated by using the method of bridge sampling. We conclude the paper with applications to simulated data as well as to modelling the U.S./U.K. real exchange rate.
Starting Page	31
Ending Page	49
Page Count	19
File Format	PDF
ISSN	00203157
Journal	Annals of the Institute of Statistical Mathematics
Volume Number	53
Issue Number	1
e-ISSN	15729052
Language	English
Publisher	Kluwer Academic Publishers
Publisher Date	2001-01-01
Publisher Place	Dordrecht
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Statistics Statistics for Business/Economics/Mathematical Finance/Insurance
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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Fully Bayesian Analysis of Switching Gaussian State Space Models