TAR modeling with missing data when the white noise process follows a Student's t-distribution

DOI10.15446/RCE.V38N1.48813MaRDI QIDQ5114041zbMATH OpenOpenAlexFDO

Authors Fabio H. Nieto, Han-Wen Zhang

Publication date 21 June 2020

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

Copyright license Creative Commons Attribution 4.0 International

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)

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Cited in

(5)

• Forecasting with univariate TAR models
• Additive Outliers in Open-Loop Threshold Autoregressive Models: A Simulation Study
• Forecasting based on a multivariate autoregressive threshold model (MTAR) with a multivariate Student’s t error distribution: A Bayesian approach
• 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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