Bayesian and Non-Bayesian Analysis of Switching Regressions and of Random Coefficient Regression Models
切换回归与随机系数回归模型的贝叶斯及非贝叶斯分析
Quandt [20] analyzed the problem of discontinuous shifts in regression regimes at unknown points in the data series. We note that Quandt's statistical approach based solely on the likelihood function can be misleading, whereas the Bayesian method based on a proper prior distribution of the unknown parameters yields sensible results. However, the exact evaluation of the posterior distribution is unusually burdensome and cannot be simplified even in large samples. To avoid…