Bayesian subset selection for threshold autoregressive moving-average models
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Cites work
- scientific article; zbMATH DE number 3742453 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- A threshold AR(1) model
- ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS
- Analysis of Financial Time Series
- Bayesian Model Averaging for Linear Regression Models
- Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
- Bayesian analysis of autoregressive moving average processes with unknown orders
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- Benchmark priors for Bayesian model averaging.
- Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors
- Diagnostics for Time Series Analysis
- Ergodicity and invertibility of threshold moving-average models
- Falling and explosive, dormant, and rising markets via multi-regime financial time series models
- Fitting piecewise linear threshold autoregressive models by means of genetic algorithms
- Nonparametric regression using Bayesian variable selection
- ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
- On threshold moving-average models
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Testing and Modeling Multivariate Threshold Models
- Testing and Modeling Threshold Autoregressive Processes
- The Calculation of Posterior Distributions by Data Augmentation
- The moments of SETARMA models
Cited in
(14)- Forecasting seasonal time series data: a Bayesian model averaging approach
- Bayesian estimation for threshold autoregressive model with multiple structural breaks
- Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy
- Full Bayesian analysis of double seasonal autoregressive models with real applications
- Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
- Bayesian Subset Model Selection for Time Series
- Testing a linear ARMA model against threshold-ARMA models: a Bayesian approach
- Another approach for the asymptotic properties of threshold vector ARMA models
- Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs
- Multi-relational pattern mining over data streams
- Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs
- Subset selection of double-threshold moving average models through the application of the Bayesian method
- A score-based threshold effect test in time series models
- Bayesian Model Averaging: A Systematic Review and Conceptual Classification
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