Bayesian Analysis of Two-Regime Threshold Autoregressive Moving Average Model with Exogenous Inputs

DOI10.1080/03610926.2010.538792zbMath1237.62127OpenAlexW2098382481MaRDI QIDQ2884907

Jin-Shan Liu, Jiazhu Pan, Qiang Xia, Rubing Liang

Publication date: 18 May 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2010.538792

zbMATH Keywords

Gibbs samplerMetropolis-Hastings algorithmTARMAX 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)

Related Items (4)

Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs ⋮ Testing a linear ARMA model against threshold-ARMA models: A Bayesian approach ⋮ Bayesian estimation for threshold autoregressive model with multiple structural breaks ⋮ A Bayesian Analysis of Autoregressive Models with Exogenous Variables and Power-Transformed and Threshold GARCH Errors

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