Abstract
We deal with Bayesian model selection for beta autoregressive processes. We discuss the choice of parameter and model priors with possible parameter restrictions and suggest a Reversible Jump Markov-Chain Monte Carlo (RJMCMC) procedure based on a Metropolis-Hastings within Gibbs algorithm.
Citation
Roberto Casarin. Luciana Dalla Valle. Fabrizio Leisen. "Bayesian Model Selection for Beta Autoregressive Processes." Bayesian Anal. 7 (2) 385 - 410, June 2012. https://doi.org/10.1214/12-BA713
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