Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts
均值与方差发生马尔可夫状态切换的自回归时间序列：Gibbs 抽样贝叶斯推断
The authors examine autoregressive time series models subject to regime switching. A Bayesian framework is develope d in which the unobserved.states, one for each time point, are treated as missing data and then analyzed using the Gibbs sampler. This approac h is straightforward because the conditional posterior distribution of the parameters given the states, and the conditional posterior distribution of the states given the parameters, are amenable to simulation. The…