Bayesian prediction in threshold autoregressive models with exponential white noise

DOI10.1007/BF02603000zbMath1110.62037MaRDI QIDQ882922

Isabel M. S. Pereira, M. Antonia Amaral-Turkman

Publication date: 25 May 2007

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

Gibbs samplerthreshold modelBayesian prediction

Mathematics Subject Classification ID

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

Related Items (4)

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Cites Work

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• BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
• ESTIMATION FOR NONNEGATIVE AUTOREGRESSIVE PROCESSES WITH AN UNKNOWN LOCATION PARAMETER
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS

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