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Using Reversible Jump MCMC to Account for Model Uncertainty
uncertainty through the Reversible Jump Markov Chain Monte Carlo [RJMCMC] method. When using the RJMCMC method ... a regime-switching situation, the chain determines the optimal number of regimes by jumping between various ...- Authors: Brian Hartman, Jeff R Hart
- Date: Nov 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Modeling & Statistical Methods>Markov Chain