Università della Svizzera italiana

Bayesian analysis for mixtures of autoregressive components with application to financial market volatility

Sampietro, Stefano ; Arbia, Giuseppe (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2004 ; 2004ECO004.

This thesis presents a Bayesian analysis of a non-linear time series model. In particular, we deal with a mixture of normal distributions whose means are linear functions of the past values of the observed variable. Since the component densities of the mixture can be viewed as the conditional distributions of different Gaussian autoregressive models, the model is referred as mixture of...