Bayesian Model Uncertainty In Smooth Transition Autoregressions

DOI10.1111/J.1467-9892.2005.00455.XzbMath1113.62105OpenAlexW2136763199MaRDI QIDQ3440743

Esther Salazar, Hedibert Freitas Lopes

Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00455.x

zbMATH Keywords

model selectionMarkov chain Monte Carloreversible jump Markov chain Monte Carlodeviance information criterionnonlinear time series 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 (7)

Fast computation of the deviance information criterion for latent variable models ⋮ Bayesian multi-regime smooth transition regression with ordered categorical variables ⋮ Constrained interest rates and changing dynamics at the zero lower bound ⋮ Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models ⋮ Time-varying multi-regime models fitting by genetic algorithms ⋮ Estimation and inference for exponential smooth transition nonlinear volatility models ⋮ Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bayes factors and nonlinearity: Evidence from economic time series
• A Bayesian analysis of generalized threshold autoregressive models
• A note on the corrected Akaike information criterion for threshold autoregressive models
• THE STATISTICAL ANALYSIS OF PERTURBED LIMIT CYCLE PROCESSES USING NONLINEAR TIME SERIES MODELS
• Bayesian Measures of Model Complexity and Fit
• Bayesian selection of threshold autoregressive models
• A new look at the statistical model identification

This page was built for publication: Bayesian Model Uncertainty In Smooth Transition Autoregressions