Bayesian subset selection for two-threshold variable autoregressive models

DOI10.1515/SNDE-2017-0062MaRDI QIDQ2691772zbMATH OpenOpenAlexFDO

Authors Shuxia Ni, Qiang Xia, Jinshan Liu

Publication date 30 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2017-0062

zbMATH Keywords

autoregressive modelsBayesian inferenceMarkov chain Monte Carlostochastic searchtwo-threshold variable

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• A Bayesian nonlinearity test for threshold moving average models
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• Equation of state calculations by fast computing machines
• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• Monte Carlo sampling methods using Markov chains and their applications
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Theory and applications of TAR model with two threshold variables

Cited in

(5)

• Subset selection of double-threshold moving average models through the application of the Bayesian method
• Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
• A threshold varying-coefficient autoregressive model for analyzing the influence of media reports of suicide on the actual suicides
• Bayesian inference for order determination of double threshold variables autoregressive models
• Dynamic panel threshold spatial durbin model with an application to the relationship between financial development and Green growth

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