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

Permalink: http://www.nusl.cz/ntk/nusl-35573


The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers