Forecasting with Multivariate Threshold Autoregressive Models

DOI10.15446/RCE.V44N2.91356zbMath1480.62171OpenAlexW3194788495MaRDI QIDQ5029417

Sergio A. Calderón-Villanueva, Fabio H. Nieto

Publication date: 14 February 2022

Published in: Revista Colombiana de Estadística (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15446/rce.v44n2.91356

zbMATH Keywords

predictive distributionsforecastingBayesian approachcoverage percentagesmultivariate threshold autoregressive model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Cites Work

• Bayesian analysis of multivariate threshold autoregressive models with missing data
• On Bayesian model and variable selection using MCMC
• Forecasting with univariate TAR models
• Threshold models in time series analysis -- some reflections
• Forecasting time-varying covariance with a robust Bayesian threshold model
• Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
• Markov Chains and Stochastic Stability
• Testing and Modeling Multivariate Threshold Models
• Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data

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