Bayesian analysis of threshold autoregressions

DOI10.1080/03610929208830924zbMath0775.62227OpenAlexW2093330979MaRDI QIDQ4202677

Peyton Cook, L. D. Broemeling

Publication date: 4 October 1993

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929208830924

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (6)

On inference for threshold autoregressive models. ⋮ BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS ⋮ Optimal estimates for the operating parameters of an information web portal ⋮ A Bayesian analysis of generalized threshold autoregressive models ⋮ Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy ⋮ Adaptive parameter estimation in self-exciting threshold autoregressive models

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• Threshold models in non-linear time series analysis
• Testing for threshold autoregression
• A Bayesian analysis of some threshold switching models
• NUMERICAL EVALUATION OF DISTRIBUTIONS IN NON-LINEAR AUTOREGRESSION
• A threshold AR(1) model
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• Nonlinear autoregressive processes

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