On inference for threshold autoregressive models.

DOI10.1007/BF02595729zbMath1109.62350OpenAlexW2099673056MaRDI QIDQ1872852

Osnat Stramer, Yu-Jau Lin

Publication date: 18 May 2003

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02595729

zbMATH Keywords

Bayesian model comparisonthreshold autoregressionreversible jumpWolfe's sunspot

Mathematics Subject Classification ID

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

Cites Work

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• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
• Marginal Likelihood From the Metropolis–Hastings Output
• MCMC methods for restoration of nonlinearly distorted autoregressive signals.

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