Bayesian Markov-Switching Vector Autoregressive Process
Fuente:
arXiv
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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866909326818410496 |
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| author | Gankhuu, Battulga |
| author_facet | Gankhuu, Battulga |
| contents | This study introduces marginal density functions of the general Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process. In the case of the Bayesian MS-VAR process, we provide closed-form density functions and Monte-Carlo simulation algorithms, including the importance sampling method. The Monte-Carlo simulation method departs from the previous simulation methods because it removes the duplication in a regime vector. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_11235 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Bayesian Markov-Switching Vector Autoregressive Process Gankhuu, Battulga Econometrics This study introduces marginal density functions of the general Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process. In the case of the Bayesian MS-VAR process, we provide closed-form density functions and Monte-Carlo simulation algorithms, including the importance sampling method. The Monte-Carlo simulation method departs from the previous simulation methods because it removes the duplication in a regime vector. |
| title | Bayesian Markov-Switching Vector Autoregressive Process |
| topic | Econometrics |
| url | https://arxiv.org/abs/2404.11235 |