BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
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Cites work
- Bayesian analysis of bilinear time series models : a gibbs sampling approach
- Bayesian analysis of threshold autoregressions
- Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
- Hierarchical Bayesian Analysis of Changepoint Problems
- scientific article; zbMATH DE number 3426675 (Why is no real title available?)
- scientific article; zbMATH DE number 3357742 (Why is no real title available?)
- scientific article; zbMATH DE number 3196612 (Why is no real title available?)
- Sampling-Based Approaches to Calculating Marginal Densities
- Testing and Modeling Threshold Autoregressive Processes
- Threshold models in non-linear time series analysis
Cited in
(68)- Volatility forecasting using threshold heteroskedastic models of the intra-day range
- Using threshold autoregressive models to study dyadic interactions
- A Bayesian analysis of some threshold switching models
- Bayesian analysis of multivariate threshold autoregressive models with missing data
- Rare shocks vs. non-linearities: what drives extreme events in the economy? Some empirical evidence
- Debt regimes and the effectiveness of monetary policy
- A Bayesian analysis of generalized threshold autoregressive models
- On inference for threshold autoregressive models.
- A Bayesian conditional autoregressive geometric process model for range data
- A comparison of estimators for regression models with change points
- Threshold variable selection by wavelets in open-loop threshold autoregressive models
- Fiscal policy in good and bad times
- Bayesian inference for threshold moving average models
- Bayesian estimation for threshold autoregressive model with multiple structural breaks
- Bayesian estimation and model selection of threshold spatial Durbin model
- Bayesian analysis of multiple thresholds autoregressive model
- A bivariate threshold time series model for analyzing Australian interest rates
- Bayesian subset selection for two-threshold variable autoregressive models
- Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules
- Macroeconomic uncertainty and forecasting macroeconomic aggregates
- Bayesian inference of latent threshold models with application to Japanese macroeconomic data
- 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
- scientific article; zbMATH DE number 6719460 (Why is no real title available?)
- scientific article; zbMATH DE number 5847196 (Why is no real title available?)
- Forecasting time-varying covariance with a robust Bayesian threshold model
- A Bayesian nonlinearity test for threshold moving average models
- Bayesian automatic parameter estimation of threshold autoregressive (TAR) models using Markov chain Monte Carlo (MCMC)
- Bootstrapping threshold autoregressive models
- Inference in TAR Models
- BAYESIAN IDENTIFICATION OF MULTIPLE CHANGE POINTS IN POISSON DATA
- scientific article; zbMATH DE number 7295288 (Why is no real title available?)
- Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
- On parameter estimation of threshold autoregressive models
- BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
- Bayesian Models for Non‐linear Autoregressions
- scientific article; zbMATH DE number 1944299 (Why is no real title available?)
- APPLYING THE PRODUCT PARTITION MODEL TO THE IDENTIFICATION OF MULTIPLE CHANGE POINTS
- Bayesian inference for smooth transition autoregressive (STAR) model: a prior sensitivity analysis
- Threshold negative binomial autoregressive model
- Bayesian selection of threshold autoregressive models
- Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data
- Using the reversible jump MCMC procedure for identifying and estimating univariate TAR models
- Time-varying multi-regime models fitting by genetic algorithms
- scientific article; zbMATH DE number 7387553 (Why is no real title available?)
- Entropy inference in smooth transition kink regression
- Bayesian estimation of a multivariate TAR model when the noise process follows a Student-t distribution
- Theory and applications of TAR model with two threshold variables
- TAR modeling with missing data when the white noise process follows a Student's \(t\)-distribution
- Bayesian analysis of multiplicative seasonal threshold autoregressive processes
- A Bayesian analysis of autoregressive models with exogenous variables and power-transformed and threshold GARCH errors
- Estimation of multiple-regime threshold autoregressive models with structural breaks
- Threshold variable selection using nonparametric methods
- Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
- Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy
- Using genetic algorithms to parameters \((d,r)\) estimation for threshold autoregressive models
- On a buffered threshold autoregressive stochastic volatility model
- On the existence of stationary threshold bilinear processes
- Efficient and accurate variational inference for multilevel threshold autoregressive models in intensive longitudinal data
- Bayesian estimation of first-order integer generalized autoregressive models based on the negative binomial thinning operator
- Weighted forecasts from SETARs with single- and multiple thresholds
- Forecasting based on a multivariate autoregressive threshold model (MTAR) with a multivariate Student’s t error distribution: A Bayesian approach
- Bayesian analysis for a threshold double autoregressive model with explanatory variables
- Forecasting with univariate TAR models
- Full predictivistic modeling of stock market data: application to change point problems
- Bayesian prediction in threshold autoregressive models with exponential white noise
- On nonlinear TAR processes and threshold estimation
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