A Bayesian Analysis of a Switching Regression Model: Known Number of Regimes
作者:
PedroE. Ferreira,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1975)
卷期:
Volume 70,
issue 350
页码: 370-374
ISSN:0162-1459
年代: 1975
DOI:10.1080/01621459.1975.10479875
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
Some aspects of Bayesian methods of inference relative to switching regression models are analyzed. It is shown that Bayesian confidence intervals and tests may be obtained by using Student'stand χ2distributions. Mean biases and MSE of some Bayesian estimates are compared by Monte Carlo methods with those of the ML estimate. The MSE of the Bayesian estimates were uniformly smaller than those of the ML estimate. An experiment designed by Quandt [11] is also analyzed.
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