Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs

DOI10.1080/03610926.2010.538792MaRDI QIDQ2884907zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Gibbs samplerMetropolis-Hastings algorithmTARMAX model

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)

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Cites work

• A Bayesian analysis of generalized threshold autoregressive models
• A Bayesian nonlinearity test for threshold moving average models
• A note on an iterative least-squares estimation method for ARMA and VARMA models
• Bayesian analysis of bilinear time series models : a gibbs sampling approach
• Bayesian analysis of threshold autoregressive moving average models
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• Bayesian subset selection for threshold autoregressive moving-average models
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors
• Ergodicity and invertibility of threshold moving-average models
• Falling and explosive, dormant, and rising markets via multi-regime financial time series models
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• Monte Carlo sampling methods using Markov chains and their applications
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Testing for a linear MA model against threshold MA models

Cited in

(9)

• 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 estimation for threshold autoregressive model with multiple structural breaks
• Bayesian analysis of multiple thresholds autoregressive model
• Bayesian subset selection for threshold autoregressive moving-average models
• Bayesian analysis of threshold autoregressive moving average models
• Testing a linear ARMA model against threshold-ARMA models: a Bayesian approach
• A Bayesian analysis of autoregressive models with exogenous variables and power-transformed and threshold GARCH errors
• Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs

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