Bayesian inference for threshold moving average models

zbMath1416.62498MaRDI QIDQ2002881

Husni A. Charif, Mohamed A. Ismail

Publication date: 12 July 2019

Published in: Metron (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationposterior distributionmultivariate \(t\)quasi conjugate analysisSETMA

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (3)

Bayesian analysis of multiple thresholds autoregressive model ⋮ Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs ⋮ Bayesian estimation for threshold autoregressive model with multiple structural breaks

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