Forecasting with Multivariate Threshold Autoregressive Models

DOI10.15446/RCE.V44N2.91356MaRDI QIDQ5029417zbMATH OpenOpenAlexFDO

Authors Sergio A. Calderón-Villanueva, Fabio H. Nieto

Publication date 14 February 2022

Published in Revista Colombiana de Estadística (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.15446/rce.v44n2.91356

zbMATH Keywords

forecastingBayesian approachpredictive distributionscoverage percentagesmultivariate threshold autoregressive model

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• Bayesian analysis of multivariate threshold autoregressive models with missing data
• Forecasting time-varying covariance with a robust Bayesian threshold model
• Forecasting with univariate TAR models
• Markov Chains and Stochastic Stability
• Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data
• On Bayesian model and variable selection using MCMC
• Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
• Testing and Modeling Multivariate Threshold Models
• Threshold models in time series analysis -- some reflections

Cited in

(8)

• Forecasting with univariate TAR models
• Combining a regression model with a multivariate Markov chain in a forecasting problem
• Forecasting time-varying covariance with a robust Bayesian threshold model
• scientific article; zbMATH DE number 5872734 (Why is no real title available?)
• Multi-step forecasts from threshold ARMA models using asymmetric loss functions
• Modeling and forecasting interval time series with threshold models
• Weighted forecasts from SETARs with single- and multiple thresholds
• Forecasting based on a multivariate autoregressive threshold model (MTAR) with a multivariate Student’s t error distribution: A Bayesian approach

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