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Selection of the number of states by birth-death processes

Sögner, Leopold (2000) Selection of the number of states by birth-death processes. Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science", 69. SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, Vienna.

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Abstract

In this article we use spatial birth-death processes to estimate the number of states k of a switching model. Following Preston (1976) and Stephens (1998) matching the detailed balance condition for the underlying birth-death process results in an unique invariant probability measure with the corresponding stationary distribution of the number of states. This concept could be easily integrated to Bayesian sampling to derive the marginal posterior distribution of the number of states within the sampling procedure. We apply this technique to simulated AR(1)data and to quarterly Austrian data on unemployment and real gross domestic product. (author's abstract)

Item Type: Paper
Keywords: Markov-Chain Monte Carlo / Birth-Death Processes / Switching Models
Divisions: Departments > Informationsverarbeitung u Prozessmanag. > Produktionsmanagement > Taudes
Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Departments > Marketing > Service Marketing und Tourismus
Departments > Informationsverarbeitung u Prozessmanag. > Informationswirtschaft
Depositing User: Repository Administrator
Date Deposited: 30 Jan 2002 11:23
Last Modified: 14 Sep 2010 23:54
URI: http://epub.wu.ac.at/id/eprint/200

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