scientific article; zbMATH DE number 1751996

MaRDI QIDQ4533131zbMATH OpenFDO

Authors Esmail Amiri

Publication date 9 June 2003

zbMATH Keywords

forecastingGibbs samplernonlinear time seriesposterior distributiontablesthreshold autoregressive models

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(7)

• Bayesian estimation and forecasting in nonlinear models. Application to an LSTAR model
• On forecasting SETAR processes
• Predictor distribution and forecast accuracy of threshold models
• Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
• Combining a regression model with a multivariate Markov chain in a forecasting problem
• Fitting of self-exciting threshold autoregressive moving average nonlinear time-series model through genetic algorithm and development of out-of-sample forecasts
• What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study

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