Bayesian analysis of multivariate threshold autoregressive models with missing data

DOI10.1080/03610926.2014.990758zbMath1367.62250OpenAlexW2524324089MaRDI QIDQ131173

Fabio H. Nieto, Sergio A. Calderón V., Fabio H. Nieto, Sergio A. Calderón V.

Publication date: 30 September 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://repositorio.unal.edu.co/handle/unal/52159

zbMATH Keywords

Bayesian analysismarginal likelihoodmissing dataMonte Carlo Markov chainmetropolized Carlin-Chibmultivariate threshold autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Censored data models (62N01) Bayesian inference (62F15)

Related Items (5)

Penalized estimation of threshold auto-regressive models with many components and thresholds ⋮ Bayesian estimation of a multivariate TAR model when the noise process follows a Student-t distribution ⋮ BMTAR ⋮ Additive Outliers in Open-Loop Threshold Autoregressive Models: A Simulation Study ⋮ Forecasting with Multivariate Threshold Autoregressive Models

Cites Work

• On Bayesian model and variable selection using MCMC
• Markov chains for exploring posterior distributions. (With discussion)
• Forecasting time-varying covariance with a robust Bayesian threshold model
• Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• On Gibbs sampling for state space models
• Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data
• Using the Reversible Jump MCMC Procedure for Identifying and Estimating Univariate TAR Models

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