Quantile self-exciting threshold autoregressive time series models

DOI10.1111/j.1467-9892.2007.00551.xzbMath1165.62062WikidataQ61719211 ScholiaQ61719211MaRDI QIDQ3608193

Yuzhi Cai, Julian Stander

Publication date: 28 February 2009

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00551.x

zbMATH Keywords

simulation; non-stationary time series; Bayesian methods; quantile self-exciting threshold autoregressive time series

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F15: Bayesian inference

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