Mathematical Theory and Modeling
Multiple Change Points Detection in the Mean of Observations with Time Varying Variances: An MCMC Approach
Abstract
Abstract. This paper is concerned with multiple change points detection inthe mean of observations with time varying variances. The posterior distributionis estimated using a MCMC method and the hyper-parameters are estimatedvia SAEM algorithm. The simulation results are also given.Keywords: Change point; GARCH models; MCMC; SAEM algorithm;Weighted energy function
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ISSN (Paper)2224-5804 ISSN (Online)2225-0522
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