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: Soft cover
Condition: New

About this title

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.

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