Bayesian Model Selection for Beta Autoregressive Processes
Roberto Casarin, Luciana Dalla Valle, Fabrizio Leisen · Bayesian Analysis · 2012
We deal with Bayesian model selection for beta autoregressive processes. We discuss the choice of parameter and model priors with possible parameter restrictions and suggest a Reversible Jump Markov-Chain Monte Carlo (RJMCMC) procedure based on a Metropolis-Hastings within Gibbs algorithm.