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

DOI10.1080/03610918.2016.1161794zbMATH Open1462.62542OpenAlexW2346652408MaRDI QIDQ4593873FDOQ4593873

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

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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)

Cited In (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 estimation of a multivariate TAR model when the noise process follows a Student-t distribution
• Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries

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