Bayesian analysis of multivariate threshold autoregressive models with missing data

DOI10.1080/03610926.2014.990758MaRDI QIDQ131173zbMATHOpenAlexFDO

Authors Sergio A. Calderón V., Fabio H. Nieto, Sergio A. Calderón V., Fabio H. Nieto

Publication date 30 September 2016

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://repositorio.unal.edu.co/handle/unal/52159

zbMATH Keywords

Bayesian analysismissing datamarginal likelihoodmetropolized Carlin-ChibMonte Carlo Markov chainmultivariate threshold autoregressive models

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Censored data models (62N01)

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Cites work

• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• Forecasting time-varying covariance with a robust Bayesian threshold model
• Markov chains for exploring posterior distributions. (With discussion)
• Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data
• On Bayesian model and variable selection using MCMC
• On Gibbs sampling for state space models
• Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
• Using the reversible jump MCMC procedure for identifying and estimating univariate TAR models

Cited in

(8)

• Missing observation analysis for matrix-variate time series data
• Additive Outliers in Open-Loop Threshold Autoregressive Models: A Simulation Study
• Penalized estimation of threshold auto-regressive models with many components and thresholds
• Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data
• Bayesian estimation of a multivariate TAR model when the noise process follows a Student-t distribution
• BMTAR
• Forecasting with Multivariate Threshold Autoregressive Models
• TAR modeling with missing data when the white noise process follows a Student's \(t\)-distribution

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