BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
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Cites work
- A Bayesian Analysis of a Switching Regression Model: Known Number of Regimes
- An introduction to bispectral analysis and bilinear time series models
- Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Exact predictive densities for linear models with ARCH disturbances
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- scientific article; zbMATH DE number 194951 (Why is no real title available?)
- scientific article; zbMATH DE number 3390199 (Why is no real title available?)
- scientific article; zbMATH DE number 3395169 (Why is no real title available?)
- Testing and Modeling Threshold Autoregressive Processes
- Threshold models in non-linear time series analysis
Cited in
(51)- Nonlinear interest rate dynamics and implications for the terms structure
- Bayesian analysis of multivariate threshold autoregressive models with missing data
- Debt regimes and the effectiveness of monetary policy
- A Bayesian nonparametric Markovian model for non-stationary time series
- Bayesian time series regression with nonparametric modeling of autocorrelation
- A Bayesian analysis of generalized threshold autoregressive models
- On inference for threshold autoregressive models.
- Parameter uncertainty and impulse response analysis
- A Bayesian conditional autoregressive geometric process model for range data
- Threshold variable selection by wavelets in open-loop threshold autoregressive models
- A Bayesian piecewise linear model for the detection of breakpoints in housing prices
- 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
- 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
- Bayesian analysis of threshold autoregressive moving average models
- Smoothly mixing regressions
- Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs
- Testing a linear ARMA model against threshold-ARMA models: a Bayesian approach
- scientific article; zbMATH DE number 2185779 (Why is no real title available?)
- A Bayesian nonlinearity test for threshold moving average models
- A Bayesian regime-switching time-series model
- Bayesian automatic parameter estimation of threshold autoregressive (TAR) models using Markov chain Monte Carlo (MCMC)
- Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
- On parameter estimation of threshold autoregressive models
- Adaptive parameter estimation in self-exciting threshold autoregressive models
- Bayesian Models for Non‐linear Autoregressions
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- Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data
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- 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
- Normality of posterior distribution under misspecification and nonsmoothness, and Bayes factor for Davies' problem
- Predictive density criterion for SETAR models
- Bayesian empirical likelihood estimation of smooth kink regression
- Bayesian analysis of multiplicative seasonal threshold autoregressive processes
- Threshold autoregressive models for directional time series
- Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
- Spatio-temporal trend analysis of spring arrival data for migratory birds
- Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy
- Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
- Tractable Bayesian estimation of smooth transition vector autoregressive models
- Efficient and accurate variational inference for multilevel threshold autoregressive models in intensive longitudinal data
- Weighted forecasts from SETARs with single- and multiple thresholds
- Inference and prediction in a multiple-structural-break model
- Likelihood estimation and inference in threshold regression
- Bayesian prediction in threshold autoregressive models with exponential white noise
- On nonlinear TAR processes and threshold estimation
- Regularized Bayesian estimation of generalized threshold regression models
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