Bayesian inference of latent threshold models with application to Japanese macroeconomic data

MaRDI QIDQ2864711zbMATH OpenFDO

Authors Jouchi Nakajima

Publication date 26 November 2013

Published in Journal of the Japan Statistical Society (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistical ranking and selection procedures (62F07) Bayesian inference (62F15) Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(1)

• A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan

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