A Bayesian threshold nonlinearity test for TAR models

zbMATH Open1244.62129MaRDI QIDQ2885992FDOQ2885992

Jinshan Liu, Qiang Xia

Publication date: 1 June 2012

Published in: Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

Bayesian inferenceposterior probabilityAR models

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

Cited In (1)

• Statistical Inference for Structurally Changed Threshold Autoregressive Models

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