Bayesian analysis of multiplicative seasonal threshold autoregressive processes

DOI10.15446/RCE.V43N2.81261MaRDI QIDQ5140672zbMATH OpenOpenAlexFDO

Authors Joaquín González, Fabio H. Nieto

Publication date 16 December 2020

Published in Revista Colombiana de Estadística (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.15446/rce.v43n2.81261

zbMATH Keywords

Bayesian analysisexogenous variablemultiplicative modelnonlinearityseasonalitythreshold autoregressive models

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

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• Bayesian inference for multiplicative seasonal models with stable innovations
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• Forecasting based on a multivariate autoregressive threshold model (MTAR) with a multivariate Student’s t error distribution: A Bayesian approach

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