Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts
James H. Albert, Siddhartha Chib · Journal of Business and Economic Statistics · 1993
James H. Albert, Siddhartha Chib, Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts, Journal of Business & Economic Statistics, Vol. 11, No. 1 (Jan., 1993), pp. 1-15