Reversible jump Markov chain Monte Carlo strategies for Bayesian model selection in autoregressive processes
This paper addresses the problem of Bayesian inference in autoregressive (AR) processes in the case where the correct model order is unknown. Original hierarchical prior models that allow the stationarity of the model to be enforced are proposed. Obtaining the quantities of interest, such as paramet...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2004
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