Bayesian analysis of change point problem in autoregressive model: a mixture model approach


In this paper, we discuss the problem of gradual changes in the parameters of an autoregressive (AR) time series model of pth order, through Bayesian mixture approach. This model incorporates the beginning and end points of the interval of switch. Further, the marginal posterior densities of the parameters are obtained by employing the ordinary numerical integration technique.

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Keywords: Autoregressive model; Bayesian estimation; Structural change; Mixture model; Numerical integration

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