A Bayesian analysis of generalized threshold autoregressive models

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

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BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
Bayesian analysis of threshold autoregressions
Equation of state calculations by fast computing machines
Sampling-Based Approaches to Calculating Marginal Densities
Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
Testing and Modeling Threshold Autoregressive Processes
The Calculation of Posterior Distributions by Data Augmentation
The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
Threshold models in non-linear time series analysis

Cited in

(28)

scientific article; zbMATH DE number 7295288 (Why is no real title available?)
BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
scientific article; zbMATH DE number 6719460 (Why is no real title available?)
Bayesian estimation for threshold autoregressive model with multiple structural breaks
Estimation for binary models generated by Gaussian autoregressive processes
Generalized threshold latent variable model
A Bayesian analysis of autoregressive models with exogenous variables and power-transformed and threshold GARCH errors
Bayesian inference for threshold moving average models
BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy
Bayesian Model Uncertainty In Smooth Transition Autoregressions
A threshold stochastic volatility model with explanatory variables
Fiscal policy in good and bad times
Bayesian prediction in threshold autoregressive models with exponential white noise
Get over it! A multilevel threshold autoregressive model for state-dependent affect regulation
Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs
Regularized Bayesian estimation of generalized threshold regression models
Bayesian analysis of panel data using an MTAR model
Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs
Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
Using threshold autoregressive models to study dyadic interactions
A Bayesian analysis of some threshold switching models
Bayesian analysis of multiple thresholds autoregressive model
On parameter estimation of threshold autoregressive models
Bayesian selection of threshold autoregressive models
Time-varying multi-regime models fitting by genetic algorithms
Bayesian automatic parameter estimation of threshold autoregressive (TAR) models using Markov chain Monte Carlo (MCMC)
Bayesian analysis of threshold autoregressive moving average models

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