Bayesian analysis of multiple thresholds autoregressive model

DOI10.1007/s00180-016-0673-3zbMath1417.62255OpenAlexW2511883346MaRDI QIDQ2358917

Qiang Xia, Jiazhu Pan, Jin-Shan Liu

Publication date: 27 June 2017

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/57442/

zbMATH Keywords

model selectionMetropolis-Hastings algorithmBayesian inferenceMCMCthreshold autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

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A Bayesian detection of structural changes in autoregressive time series models ⋮ Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs ⋮ Bayesian estimation for threshold autoregressive model with multiple structural breaks ⋮ Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy

Uses Software

• FinTS

Cites Work

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