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arXiv · 2404.11235

Bayesian Markov-Switching Vector Autoregressive Process

Battulga Gankhuu
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Abstract

This study introduces marginal density functions of the general Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process. In the case of the Bayesian MS-VAR process, we provide closed-form density functions and Monte-Carlo simulation algorithms, including the importance sampling method. The Monte-Carlo simulation method departs from the previous simulation methods because it removes the duplication in a regime vector.

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Battulga Gankhuu. 2024-04-17. Bayesian Markov-Switching Vector Autoregressive Process. https://arxiv.org/abs/2404.11235

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