Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs
DOI10.1080/03610926.2010.538792zbMATH Open1237.62127OpenAlexW2098382481MaRDI QIDQ2884907FDOQ2884907
Authors: Qiang Xia, Jinshan Liu, Jiazhu Pan, Rubing Liang 
Publication date: 18 May 2012
Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2010.538792
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Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)
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- BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
- Falling and explosive, dormant, and rising markets via multi-regime financial time series models
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- Bayesian analysis of bilinear time series models : a gibbs sampling approach
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Cited In (9)
- 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
- Bayesian subset selection for threshold autoregressive moving-average models
- Testing a linear ARMA model against threshold-ARMA models: a Bayesian approach
- Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs
- Bayesian analysis of multivariate threshold autoregressive models with missing data
- Subset selection of double-threshold moving average models through the application of the Bayesian method
- Bayesian analysis of multiple thresholds autoregressive model
- Bayesian analysis of threshold autoregressive moving average models
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