Bayesian Markov-Switching Vector Autoregressive Process

• Tác giả: Battulga Gankhuu
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.76 Stochastic systems
• Thông tin xuất bản: 2024
• Bộ sưu tập: Metadata
• ID: 202376

Tóm tắt

This study introduces marginal density functions of the general Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process. In the case of the Bayesian MS-VAR process, we provide closed-form density functions and Monte-Carlo simulation algorithms, including the importance sampling method. The Monte-Carlo simulation method departs from the previous simulation methods because it removes the duplication in a regime vector.