Bayesian analysis of threshold autoregressions

DOI10.1080/03610929208830924MaRDI QIDQ4202677zbMATH OpenOpenAlexFDO

Authors Lyle D. Broemeling, Peyton Cook

Publication date 4 October 1993

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

Full work available at URL https://doi.org/10.1080/03610929208830924

Mathematics Subject Classification ID

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

Cites work

• A Bayesian analysis of some threshold switching models
• A threshold AR(1) model
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• Nonlinear autoregressive processes
• NUMERICAL EVALUATION OF DISTRIBUTIONS IN NON-LINEAR AUTOREGRESSION
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• Testing for threshold autoregression
• Threshold models in non-linear time series analysis

Cited in

(6)

• A Bayesian analysis of generalized threshold autoregressive models
• On inference for threshold autoregressive models.
• Optimal estimates for the operating parameters of an information web portal
• Adaptive parameter estimation in self-exciting threshold autoregressive models
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy

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