Autoregressive Mixture

[Bob_Carpenter]

This is a duplicate of:

Non iid mixture

Hi, we are two Italian statistical student of Sapienza Università di Roma. We are working about Testing Hypotheses via a mixture estimation model, based on the work of Kamary, Mergensen, Robert and Rousseau. In particular we would like to implement this procedure for a mixture of two autoregressive processes AR(1) and AR(2). Our aim is to estimate the weights of the mixture and analyze if their behaviour is coherent with the posterior probability of the model computed through the Bayes Factor. …

I posted a reply to the original thread a few minutes ago and will repost here.

Please try not to duplicate posts as then we have to run cleanup to put them back together.