TAR Modeling with Missing Data when the White Noise Process Follows a Student’s t-Distribution

DOI10.15446/RCE.V38N1.48813zbMATH Open1435.62343OpenAlexW2011332037MaRDI QIDQ5114041FDOQ5114041

Fabio H. Nieto, Han-Wen Zhang

Publication date: 21 June 2020

Published in: Revista Colombiana de Estadística (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15446/rce.v38n1.48813

zbMATH Keywords

forecastingmissing datatime seriesBayesian statisticsGibbs samplerthreshold autoregressive model

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Missing data (62D10)

Cited In (3)

• Additive Outliers in Open-Loop Threshold Autoregressive Models: A Simulation Study
• Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data
• Bayesian estimation of a multivariate TAR model when the noise process follows a Student-t distribution

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