search query: @author Chib, S. / total: 3
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| Author: | Chib, S. |
| Title: | Estimation and comparison of multiple change-point models. |
| Journal: | Journal of Econometrics
1998 : OCT, VOL. 86:2, p. 221-241 |
| Index terms: | PROBABILITY BAYESIAN STATISTICS MARKOV CHAINS MONTE CARLO TECHNIQUE |
| Language: | eng |
| Abstract: | The article provides a new Bayesian approach for models with multiple change points. The centerpiece of the approach is a formulation of the change-point model in terms of a latent discrete state variable that indicates the regime from which a particular observation has been drawn. This state variable is specified to evolve according to a discrete-time discrete-state Markov process with the transition probabilities constrained so that the state variable can either stay at the current value or jump to the next higher value. This parameterization exactly reproduces the change point model. The model is estimated by Markov chain Monte Carlo methods. Methods for the computation of Bayes factors are also developed. All the techniques are illustrated using simulated and real data set. |
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