Hi, I’m trying to get a toy model working for fitting piecewise functions. The background is that for time series data, the process might be nonstationary, and at some moment it switches into a new regime (the parameters describing the process undergo a step change). It might look something like thi…

Getting "mass matrix contains zero on the diagonal" when trying to fit a piecewise linear model

junpenglao September 16, 2018, 6:16am 2

You can following the advice in this discussion: Switch point Metropolis tuning

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