Bayesian Automatic Parameter Estimation of Threshold Autoregressive (TAR) Models using Markov Chain Monte Carlo (MCMC)

DOI10.1007/978-3-642-57489-4_24zbMath1439.62007OpenAlexW1515676410MaRDI QIDQ3298672

Esmail Amiri

Publication date: 15 July 2020

Published in: Compstat (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-57489-4_24

zbMATH Keywords

Gibbs samplernonlinear time seriesMarkov chain Monte Carlo (MCMC)threshold autoregressive models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Cites Work

• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
• On Gibbs sampling for state space models
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Bayesian Automatic Parameter Estimation of Threshold Autoregressive (TAR) Models using Markov Chain Monte Carlo (MCMC)