BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES

DOI10.1111/j.1467-9892.1993.tb00156.xzbMath0779.62073OpenAlexW1992397662MaRDI QIDQ4272766

Nobuhiko Terui, John F. Geweke

Publication date: 20 December 1993

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00156.x

zbMATH Keywords

nonlinear time seriesMonte Carlo integrationthreshold autoregressive modelexact posterior distributionCanadian lynxWolfe's sunspotmulti-step- ahead predictive densityregime change prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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Cites Work

• Threshold models in non-linear time series analysis
• An introduction to bispectral analysis and bilinear time series models
• Exact predictive densities for linear models with ARCH disturbances
• A Bayesian Analysis of a Switching Regression Model: Known Number of Regimes
• Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
• Testing and Modeling Threshold Autoregressive Processes
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
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