Switching Linear Models: A General Approach

ABSTRACT

With reference to switching linear models, using the notion of a switching interval, the posterior distributions of all the parameters in the model are obtained. This includes the beginning and end points of the switching interval and the parameters determining the nature of the switch. This is done by studying three cases of the problem: a permanent switch in a finite interval, a permanent switch in an infinite interval, and a temporary switch in a finite interval. The analysis is general in the sense that it can be applied to any problem that can be formulated as a linear model. A numerical study illustrates the methodology.

Key Words:

• Bayes estimators
• Simulation
• Switching intervals
• Switching linear models
• Switching regression models
• Switching sequences of random variables