Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach (Q5309311): Difference between revisions

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scientific article; zbMATH DE number 5198731

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English	Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach	scientific article; zbMATH DE number 5198731

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scholarly article

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title

Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach (English)

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Journal of Applied Statistics

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publication date

9 October 2007

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/02664760120098829

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cites work

Threshold Cointegration

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Testing for threshold autoregression

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A multiple-threshold AR(1) model

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Limiting properties of the least squares estimator of a continuous threshold autoregressive model

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Marginal Likelihood from the Gibbs Output

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Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative

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Q4884570

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Reversible jump Markov chain Monte Carlo computation and Bayesian model determination

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Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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Bayes factors and nonlinearity: Evidence from economic time series

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On geometric ergodicity of the MTAR process

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Forecasting the U.S. Unemployment Rate

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Estimation of posterior density functions from a posterior sample.

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A threshold AR(1) model

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Bayesian Analysis of Quantitative Trait Locus Data Using Reversible Jump Markov Chain Monte Carlo

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Q3999154

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Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio

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Testing for threshold autoregression with conditional heteroscedasticity

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Identifiers

zbMATH Open document ID

1349.62422

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DOI

10.1080/02664760120098829

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5309311

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@@ Property / cites work @@
+Threshold Cointegration
@@ Property / cites work: Threshold Cointegration / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for threshold autoregression
@@ Property / cites work: Testing for threshold autoregression / rank @@
+Normal rank
@@ Property / cites work @@
+A multiple-threshold AR(1) model
@@ Property / cites work: A multiple-threshold AR(1) model / rank @@
+Normal rank
@@ Property / cites work @@
+Limiting properties of the least squares estimator of a continuous threshold autoregressive model
+Normal rank
@@ Property / cites work @@
+Marginal Likelihood from the Gibbs Output
@@ Property / cites work: Marginal Likelihood from the Gibbs Output / rank @@
+Normal rank
@@ Property / cites work @@
+Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
+Normal rank
@@ Property / cites work @@
+Q4884570
@@ Property / cites work: Q4884570 / rank @@
+Normal rank
@@ Property / cites work @@
+Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
+Normal rank
@@ Property / cites work @@
+Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
+Normal rank
@@ Property / cites work @@
+Bayes factors and nonlinearity: Evidence from economic time series
+Normal rank
@@ Property / cites work @@
+On geometric ergodicity of the MTAR process
@@ Property / cites work: On geometric ergodicity of the MTAR process / rank @@
+Normal rank
@@ Property / cites work @@
+Forecasting the U.S. Unemployment Rate
@@ Property / cites work: Forecasting the U.S. Unemployment Rate / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of posterior density functions from a posterior sample.
+Normal rank
@@ Property / cites work @@
+A threshold AR(1) model
@@ Property / cites work: A threshold AR(1) model / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian Analysis of Quantitative Trait Locus Data Using Reversible Jump Markov Chain Monte Carlo
+Normal rank
@@ Property / cites work @@
+Q3999154
@@ Property / cites work: Q3999154 / rank @@
+Normal rank
@@ Property / cites work @@
+Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
+Normal rank
@@ Property / cites work @@
+Testing for threshold autoregression with conditional heteroscedasticity
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5309311