Bayes model averaging of cyclical decomp
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Richard Kleijn; Herman K. van Dijk
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Article
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2006
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John Wiley and Sons
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English
β 244 KB
## Abstract A flexible decomposition of a time series into stochastic cycles under possible nonβstationarity is specified, providing both a useful data analysis tool and a very wide model class. A Bayes procedure using Markov Chain Monte Carlo (MCMC) is introduced with a model averaging approach wh