A Bayesian nonlinearity test for threshold moving average models

DOI10.1111/J.1467-9892.2010.00667.XMaRDI QIDQ3103187zbMATH OpenOpenAlexFDO

Authors Qiang Xia, Jiazhu Pan, Jinshan Liu, Zhi-Qiang Zhang

Publication date 26 November 2011

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

Full work available at URL https://strathprints.strath.ac.uk/29107/

zbMATH Keywords

Bayesian inferenceGibbs samplerMA modelsmetropolis-hastings algorithmRJMCMC methodsTMA models

Mathematics Subject Classification ID

Bayesian inference (62F15) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• Bayesian analysis of threshold autoregressive moving average models
• Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• Monte Carlo sampling methods using Markov chains and their applications
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images

Cited in

(11)

• Bayesian subset selection for two-threshold variable autoregressive models
• Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs
• A Bayesian threshold nonlinearity test for TAR models
• Testing a linear ARMA model against threshold-ARMA models: a Bayesian approach
• A proposed methodology for the statistical hypotheses testing of the linear and non-linear restrictions in the multiplicative seasonal moving average models
• The marginal density of a TMA(1) process
• Nonlinearity testing and modeling for threshold moving average models
• A note on moving-average models with feedback
• Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs
• Bayesian inference for order determination of double threshold variables autoregressive models
• On buffered moving average models

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Uses Software

• FinTS

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