A Bayesian analysis of generalized threshold autoregressive models

DOI10.1016/S0167-7152(98)00077-7zbMATH Open0933.62084OpenAlexW1969638824MaRDI QIDQ1807914FDOQ1807914

Authors: Cathy W. S. Chen 

Publication date: 2 April 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00077-7

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zbMATH Keywords

Markov chain Monte CarloGibbs samplerMetropolis algorithmMCMC methodgeneralized TAR models

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)

Cites Work

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• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• Threshold models in non-linear time series analysis
• Testing and Modeling Threshold Autoregressive Processes
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• Bayesian analysis of threshold autoregressions

Cited In (28)

• Title not available (Why is that?)
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• Title not available (Why is that?)
• Bayesian estimation for threshold autoregressive model with multiple structural breaks
• A Bayesian analysis of autoregressive models with exogenous variables and power-transformed and threshold GARCH errors
• Estimation for binary models generated by Gaussian autoregressive processes
• Generalized threshold latent variable model
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• Bayesian inference for threshold moving average models
• Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy
• Bayesian Model Uncertainty In Smooth Transition Autoregressions
• A threshold stochastic volatility model with explanatory variables
• Fiscal policy in good and bad times
• Bayesian prediction in threshold autoregressive models with exponential white noise
• Get over it! A multilevel threshold autoregressive model for state-dependent affect regulation
• Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs
• Bayesian analysis of panel data using an MTAR model
• Regularized Bayesian estimation of generalized threshold regression models
• Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
• Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs
• Using threshold autoregressive models to study dyadic interactions
• A Bayesian analysis of some threshold switching models
• Bayesian analysis of multiple thresholds autoregressive model
• On parameter estimation of threshold autoregressive models
• Bayesian selection of threshold autoregressive models
• Time-varying multi-regime models fitting by genetic algorithms
• Bayesian automatic parameter estimation of threshold autoregressive (TAR) models using Markov chain Monte Carlo (MCMC)
• Bayesian analysis of threshold autoregressive moving average models

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