Bayesian Subset Model Selection for Time Series

DOI10.1111/j.1467-9892.2004.01874.xzbMath1062.62205OpenAlexW3122984016MaRDI QIDQ4677036

N. K. Unnikrishnan

Publication date: 20 May 2005

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.01874.x

zbMATH Keywords

ARMAreversible jump Markov chain Monte CarloBayesian subset model selectionbilinear and SETAR models

Mathematics Subject Classification ID

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

Related Items

Improved model selection criteria for SETAR time series models ⋮ Time-varying multi-regime models fitting by genetic algorithms ⋮ Partial autocorrelation parameterization for subset autoregression

Cites Work

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• An introduction to bispectral analysis and bilinear time series models
• Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
• Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach