Bayesian subset selection for two-threshold variable autoregressive models
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Publication:2691772
DOI10.1515/SNDE-2017-0062OpenAlexW2800122479MaRDI QIDQ2691772
Qiang Xia, Shuxia Ni, Jin-Shan Liu
Publication date: 30 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2017-0062
Markov chain Monte Carloautoregressive modelsBayesian inferencestochastic searchtwo-threshold variable
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)
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Cites Work
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- A Bayesian nonlinearity test for threshold moving average models
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
- BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
- Theory and Applications of TAR Model with Two Threshold Variables
- Equation of State Calculations by Fast Computing Machines
- Monte Carlo sampling methods using Markov chains and their applications
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