Bayesian selection of threshold autoregressive models

DOI10.1111/J.1467-9892.2004.01726.XMaRDI QIDQ4677025zbMATH OpenOpenAlexFDO

Authors Edward P. Campbell

Publication date 20 May 2005

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2004.01726.x

zbMATH Keywords

order selectionreversible jump MCMCSETAR model

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• A Bayesian analysis of generalized threshold autoregressive models
• A note on the corrected Akaike information criterion for threshold autoregressive models
• Automatic Bayesian Curve Fitting
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• Modeling a Poisson Forest in Variable Elevations: A Nonparametric Bayesian Approach

Cited in

(13)

• Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
• Subset selection of double-threshold moving average models through the application of the Bayesian method
• Bayesian model selection for beta autoregressive processes
• Improved model selection criteria for SETAR time series models
• Model selection in threshold models
• Bayesian automatic parameter estimation of threshold autoregressive (TAR) models using Markov chain Monte Carlo (MCMC)
• Bayesian Model Uncertainty In Smooth Transition Autoregressions
• Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
• Using the reversible jump MCMC procedure for identifying and estimating univariate TAR models
• Threshold autoregressive models for directional time series
• Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach
• Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy
• Dynamic panel models with multi-threshold effects and endogeneity

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