Bayesian analysis of multiple thresholds autoregressive model

DOI10.1007/S00180-016-0673-3MaRDI QIDQ2358917zbMATH OpenOpenAlexFDO

Authors Jiazhu Pan, Qiang Xia, Jinshan Liu

Publication date 27 June 2017

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://strathprints.strath.ac.uk/57442/

zbMATH Keywords

model selectionBayesian inferenceMCMCMetropolis-Hastings algorithmthreshold autoregressive model

Mathematics Subject Classification ID

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

• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• A Bayesian analysis of generalized threshold autoregressive models
• Analysis of Financial Time Series
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
• Bayesian analysis of threshold autoregressive moving average models
• Bayesian inference for threshold moving average models
• Bayesian model selection for heteroskedastic models
• Falling and explosive, dormant, and rising markets via multi-regime financial time series models
• Least-squares estimation of an unknown number of shifts in a time series
• Testing and Modeling Threshold Autoregressive Processes
• Threshold models in non-linear time series analysis

Cited in

(17)

• Bayesian subset selection for threshold autoregressive moving-average models
• Bayesian inference for threshold moving average models
• Bayesian automatic parameter estimation of threshold autoregressive (TAR) models using Markov chain Monte Carlo (MCMC)
• A Bayesian detection of structural changes in autoregressive time series models
• Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs
• On inference for threshold autoregressive models.
• Bayesian analysis of threshold autoregressive moving average models
• Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
• Bayesian analysis of panel data using an MTAR model
• Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs
• Bayesian estimation for threshold autoregressive model with multiple structural breaks
• Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy
• Subset selection of double-threshold moving average models through the application of the Bayesian method
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• Bayesian analysis of multiplicative seasonal threshold autoregressive processes
• A sequential procedure for determining the number of regimes in a threshold autoregressive model
• Bayesian analysis of multivariate threshold autoregressive models with missing data

Describes a project that uses

Uses Software

• FinTS

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