Bayesian mixtures of autoregressive models

Wood, Sally, Rosen, Ori, Kohn, Robert . Journal of Computational and Graphical Statistics 2011. 20 (1) :174-195

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Bibtex

@article{CIS-253860,
  Author = {Wood, Sally and Rosen, Ori and Kohn, Robert},
  Title = {Bayesian mixtures of autoregressive models},
  Journal = {Journal of Computational and Graphical Statistics},
  Volume = {20},
  Number = {1},
  Year = {2011},
  Pages = {174--195},
  Keywords = {Forecasting, Nonstationary time series, Segmentation, reversible jump MCMC, mixtures-of-experts}
}

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