BAYESIAN INFERENCE FOR STRUCTURAL CHANGES IN TIME SERIES MODELS: MONOGRAPH ON TIME SERIES ANALYSIS

.D, VENKATESAN, M, VIJAYAKUMAR.

ISBN 10: 384431492X / ISBN 13: 9783844314922

Published by LAP LAMBERT Academic Publishing, 2011

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Bibliographic Details

• Title: BAYESIAN INFERENCE FOR STRUCTURAL CHANGES IN TIME SERIES MODELS: MONOGRAPH ON TIME SERIES ANALYSIS
• Publisher: LAP LAMBERT Academic Publishing
• Publication Date: 2011
• Language: English
• ISBN 10: 384431492X
• ISBN 13: 9783844314922
• Binding: paperback
• Condition: Like New
• Book Type: book

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Synopsis

This monograph provides Bayesian inference for change point problems through Mixture model approach in Time series models viz., changes in mean of the time series with and without auto correlated errors, variance changes in the time series model and order changes in the time series models. MCMC technique is used to obtain the numerical solutions. The main aim of the numerical study is to illustrate the evaluation of the estimates of the parameters on the basis of the methodology developed in this monograph.

About the Author

Dr D.VENKATESAN,Associate Professor in Statistics,Annamalai University,India. He has published more than twenty five research papers and co-authored two books.He has been awarded CSIR,DST visiting, TNASCST YSF, UGC Visiting Associate and INSA fellowships and Visiting Fellowship by the University of Naples L-Orientale,Italy, in 2009.