Bayesian Analysis of Two-Regime Threshold Autoregressive Moving Average Model with Exogenous Inputs

DOI10.1080/03610926.2010.538792zbMath1237.62127MaRDI QIDQ2884907

Jin-Shan Liu, Jiazhu Pan, Qiang Xia, 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 sampler; Metropolis-Hastings algorithm; TARMAX model

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F15: Bayesian inference

65C40: Numerical analysis or methods applied to Markov chains

Related Items

A Bayesian Analysis of Autoregressive Models with Exogenous Variables and Power-Transformed and Threshold GARCH Errors, Testing a linear ARMA model against threshold-ARMA models: A Bayesian approach

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