Bayesian subset selection for threshold autoregressive moving-average models

DOI10.1007/s00180-010-0198-0zbMath1304.65023MaRDI QIDQ2513329

Cathy W. S. Chen, Feng-Chi Liu, Richard H. Gerlach

Publication date: 28 January 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-010-0198-0

zbMATH Keywords

Bayesian model averaging; mixture normal distribution; stochastic search variable selection method

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

Related Items

Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy, Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs, Bayesian Model Averaging: A Systematic Review and Conceptual Classification, Multi-relational pattern mining over data streams, Forecasting seasonal time series data: a Bayesian model averaging approach, Bayesian estimation for threshold autoregressive model with multiple structural breaks, Bayesian Analysis of Two-Regime Threshold Autoregressive Moving Average Model with Exogenous Inputs, Testing a linear ARMA model against threshold-ARMA models: A Bayesian approach

Uses Software

• FinTS

Cites Work

• Unnamed Item
• Unnamed Item
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Ergodicity and invertibility of threshold moving-average models
• Fitting piecewise linear threshold autoregressive models by means of genetic algorithms
• Bayesian analysis of autoregressive moving average processes with unknown orders
• Nonparametric regression using Bayesian variable selection
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
• The moments of SETARMA models
• A threshold AR(1) model
• The Calculation of Posterior Distributions by Data Augmentation
• On threshold moving-average models
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Bayesian Model Averaging for Linear Regression Models
• Testing and Modeling Multivariate Threshold Models
• Testing and Modeling Threshold Autoregressive Processes
• Diagnostics for Time Series Analysis
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models
• ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS
• Analysis of Financial Time Series
• Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors
• Benchmark priors for Bayesian model averaging.