Testing a linear ARMA model against threshold-ARMA models: A Bayesian approach

DOI10.1080/03610918.2014.1002616zbMath1362.62172OpenAlexW2080301044MaRDI QIDQ2974930

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

Publication date: 11 April 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/56444/

zbMATH Keywords

Gibbs samplerMetropolis-Hastings algorithmBayesian inferenceARMA modelsautoregressive moving-average (ARMA)RJMCMC methodsTARMA modelsthreshold autoregressive moving-average (TARMA)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Bayesian inference (62F15)

Related Items (2)

Simulation and application of subsampling for threshold autoregressive moving-average models ⋮ Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs

Cites Work

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• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• Monte Carlo sampling methods using Markov chains and their applications
• Analysis of Financial Time Series
• Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors

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