Bayesian Subset Model Selection for Time Series

DOI10.1111/J.1467-9892.2004.01874.XMaRDI QIDQ4677036zbMATH OpenOpenAlexFDO

Authors N. K. Unnikrishnan

Publication date 20 May 2005

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2004.01874.x

zbMATH Keywords

ARMABayesian subset model selectionbilinear and SETAR modelsreversible jump Markov chain Monte Carlo

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• An introduction to bispectral analysis and bilinear time series models
• Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
• Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)

Cited in

(13)

• A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models
• Subset selection of double-threshold moving average models through the application of the Bayesian method
• Bayesian subset selection for threshold autoregressive moving-average models
• Improved model selection criteria for SETAR time series models
• A robust algorithm in sequentially selecting subset time series system using neural networks
• ON THE SELECTION OF SUBSET AUTOREGRESSIVE TIME SERIES MODELS
• Partial autocorrelation parameterization for subset autoregression
• scientific article; zbMATH DE number 3945193 (Why is no real title available?)
• PROJECTION MODULUS: A NEW DIRECTION FOR SELECTING SUBSET AUTOREGRESSIVE MODELS
• scientific article; zbMATH DE number 1515428 (Why is no real title available?)
• REFINEMENTS TO MODEL SELECTION FOR NONLINEAR TIME SERIES
• Time-varying multi-regime models fitting by genetic algorithms
• On subset least squares estimation and prediction in vector autoregressive models with exogenous variables

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