Bayesian subset selection for threshold autoregressive moving-average models

DOI10.1007/s00180-010-0198-0zbMath1304.65023OpenAlexW2009605255MaRDI QIDQ2513329

Cathy W. S. Chen, Feng-Chi Liu, Richard H. Gerlach

Publication date: 28 January 2015

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

Full work available at URL: https://doi.org/10.1007/s00180-010-0198-0

zbMATH Keywords

Bayesian model averagingmixture normal distributionstochastic search variable selection method

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Related Items (8)

Bayesian Analysis of Two-Regime Threshold Autoregressive Moving Average Model with Exogenous Inputs ⋮ Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs ⋮ Bayesian Model Averaging: A Systematic Review and Conceptual Classification ⋮ Testing a linear ARMA model against threshold-ARMA models: A Bayesian approach ⋮ Multi-relational pattern mining over data streams ⋮ Bayesian estimation for threshold autoregressive model with multiple structural breaks ⋮ Forecasting seasonal time series data: a Bayesian model averaging approach ⋮ Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy

Uses Software

• FinTS

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