Testing a linear ARMA model against threshold-ARMA models: a Bayesian approach

DOI10.1080/03610918.2014.1002616MaRDI QIDQ2974930zbMATH OpenOpenAlexFDO

Authors Rubing Liang, Qiang Xia, Jiazhu Pan, Jinshan Liu

Publication date 11 April 2017

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

Full work available at URL https://strathprints.strath.ac.uk/56444/

zbMATH Keywords

ARMA modelsautoregressive moving-average (ARMA)Bayesian inferenceGibbs samplerMetropolis-Hastings algorithmRJMCMC methodsTARMA modelsthreshold autoregressive moving-average (TARMA)

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Bayesian nonlinearity test for threshold moving average models
• Analysis of Financial Time Series
• Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• Bayesian subset selection for threshold autoregressive moving-average models
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors
• scientific article; zbMATH DE number 826247 (Why is no real title available?)
• Monte Carlo sampling methods using Markov chains and their applications
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Testing for a linear MA model against threshold MA models

Cited in

(9)

• Bayesian subset selection for threshold autoregressive moving-average models
• An empirical study on the parsimony and descriptive power of TARMA models
• A Bayesian threshold nonlinearity test for TAR models
• A Bayesian nonlinearity test for threshold moving average models
• Empirical power comparisons of some tests for low order threshold models
• Identification of threshold autoregressive moving average models
• Simulation and application of subsampling for threshold autoregressive moving-average models
• Empirical power comparisons of some tests for low order threshold models
• Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs

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