A Bayesian nonlinearity test for threshold moving average models

DOI10.1111/j.1467-9892.2010.00667.xzbMath1226.62026OpenAlexW1581264736MaRDI QIDQ3103187

Qiang Xia, Jin-Shan Liu, Jiazhu Pan, Zhi-Qiang Zhang

Publication date: 26 November 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/29107/

zbMATH Keywords

Gibbs samplerBayesian inferenceMA modelsmetropolis-hastings algorithmRJMCMC methodsTMA models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Bayesian Analysis of Two-Regime Threshold Autoregressive Moving Average Model with Exogenous Inputs ⋮ Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs ⋮ The Marginal Density of a TMA(1) Process ⋮ Bayesian subset selection for two-threshold variable autoregressive models ⋮ Testing a linear ARMA model against threshold-ARMA models: A Bayesian approach ⋮ A note on moving‐average models with feedback

Uses Software

• FinTS

Cites Work

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• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
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