Bayesian inference for smooth transition autoregressive (STAR) model: a prior sensitivity analysis

DOI10.1080/03610918.2016.1161794MaRDI QIDQ4593873zbMATH OpenOpenAlexFDO

Authors Glen jun. Livingston, D. Nur

Publication date 15 November 2017

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2016.1161794

zbMATH Keywords

Metropolis-Hastings algorithmmultiple try Metropolis algorithmsmooth transition autoregressive (STAR) modelreversible jump MCMC algorithmGibbs sampler algorithmprior sensitivity analysis

Mathematics Subject Classification ID

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

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(5)

• Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
• Bayesian estimation and model selection of a multivariate smooth transition autoregressive model
• Bayesian inference of multivariate-GARCH-BEKK models
• Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries
• Bayesian estimation of a multivariate TAR model when the noise process follows a Student-t distribution

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