Original title:
Bayesian approach to change point detection of unemployment rate via MCMC methods
Translated title:
Bayesovská detekce změny v míře nezaměstnanosti s použitím MCMC metod
Authors:
Reisnerová, Soňa Document type: Papers Conference/Event: Mathematical Methods in Economics 2006, Plzeň (CZ), 2006-09-13 / 2006-09-15
Year:
2006
Language:
eng Abstract:
[eng][cze] The time series of numbers of new unemployed is analyzed and modeled as a series of Poisson counts. Its intensity parameter is assumed to have a linear shape with a possible jump and trend change. The change is detected with the Markov chain Monte Carlo procedure. An application to Czech Republic data 1998-2003 is presented.Přírůstky počtu nezaměstnaných jsou modelovány jako časová řada Poissonových náhodných veličin, jejichž intensita má linearní trend s možnou změnou i skokem. Tato změna je detekována pomocí MCMC prodcedury, metoda je použita na analýzu dat z ČR z let 1998-2003.
Keywords:
Change point; MCMC; poisson model; unemployment rate Project no.: CEZ:AV0Z10750506 (CEP), IAA101120604 (CEP) Funding provider: GA AV ČR Host item entry: Proceedings of the 24th International Conference Mathematical Methods in Economics 2006, ISBN 978-80-7043-480-2
Institution: Institute of Information Theory and Automation AS ČR
(web)
Document availability information: Fulltext is available at the institute of the Academy of Sciences. Original record: http://hdl.handle.net/11104/0134929