作者：Frühwirth-Schnatter, S
作者单位：Vienna University of Economics & Business
摘要：Bayesian estimation of a very general model class, where the distribution of the observations depends on a latent process laking values in a discrete state space, is discussed in this article. This model class covers finite mixture modeling, Markov switching autoregressive modeling. and dynamic linear models with switching. The consequences the unidentifiability of this type of model has on Markov chain Monte Carlo (MCMC) estimation are explicitly dealt with. Joint Bayesian estimation of all l...
作者：Berger, JO; Guglielmi, A
作者单位：Duke University; Consiglio Nazionale delle Ricerche (CNR)
摘要：Testing the fit of data to a parametric model can be done by embedding the parametric model in a nonparametric alternative and computing the Bayes factor of the parametric model to the nonparametric alternative. Doing so by specifying the nonparametric alternative via a Polya tree process is particularly attractive, from both theoretical and methodological perspectives. Among the benefits is a degree of computational simplicity that even allows for robustness analyses to be implemented Default...
