Bayesian analysis of threshold autoregressive moving average models

MaRDI QIDQ2736957zbMATH OpenFDO

Authors Thelma Sáfadi, Pedro A. Morettin

Publication date 11 September 2001

Published in Sankhyā. Series B. Methodological (Search for Journal in Brave)

zbMATH Keywords

ARMA modelsGibbs samplerMetropolis-Hastings algorithmpredictive distributionrearrangement autoregressionTARMA modelthreshold

Mathematics Subject Classification ID

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

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(27)

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• On inference for threshold autoregressive models.
• Optimal estimates for the operating parameters of an information web portal
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• Subset selection of double-threshold moving average models through the application of the Bayesian method
• Bayesian prediction for stochastic processes: theory and applications
• Bayesian analysis of multiple thresholds autoregressive model
• Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules
• Identification of moving average models: a Bayesian approach
• Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs
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• A Bayesian nonlinearity test for threshold moving average models
• Bayesian analysis of panel data using an MTAR model
• On threshold moving-average models
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
• scientific article; zbMATH DE number 1944299 (Why is no real title available?)
• Bayesian inference for smooth transition autoregressive (STAR) model: a prior sensitivity analysis
• Bayesian selection of threshold autoregressive models
• Bayesian estimation of a multivariate TAR model when the noise process follows a Student-t distribution
• Bayesian analysis of multiplicative seasonal threshold autoregressive processes
• Bayesian Identification of Moving Average Models
• Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy
• A Bayesian detection of structural changes in autoregressive time series models
• Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs
• A score-based threshold effect test in time series models

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