A Bayesian Analysis of a Switching Regression Model: Known Number of Regimes
- 1 June 1975
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 70 (350) , 370
- https://doi.org/10.2307/2285825
Abstract
Some aspects of Bayesian methods of inference relative to switching regression models are analyzed. It is shown that Bayesian confidence intervals and tests may be obtained by using Student's t and χ2 distributions. Mean biases and MSE of some Bayesian estimates are compared by Monte Carlo methods with those of the ML estimate. The MSE of the Bayesian estimates were uniformly smaller than those of the ML estimate. An experiment designed by Quandt [11] is also analyzed.Keywords
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