Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Bayesian Inference for Switching Mean Models with ARMA Errors

  • Son, Young Sook (Department of Statistics, Chonnam National University) ;
  • Kim, Seong W. (Division of Applied Mathematics, Hanyang University) ;
  • Cho, Sinsup (Department of Statistics, Seoul National University)
  • Published : 2003.12.01
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Abstract

Bayesian inference is considered for switching mean models with the ARMA errors. We use noninformative improper priors or uniform priors. The fractional Bayes factor of O'Hagan (1995) is used as the Bayesian tool for detecting the existence of a single change or multiple changes and the usual Bayes factor is used for identifying the orders of the ARMA error. Once the model is fully identified, the Gibbs sampler with the Metropolis-Hastings subchains is constructed to estimate parameters. Finally, we perform a simulation study to support theoretical results.

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