Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data

DOI10.1016/j.csda.2004.07.023zbMath1429.62409OpenAlexW2076606437MaRDI QIDQ957295

Byeong U. Park, Soo Jung Park, Dong Wan Shin, Woo Chul Kim, Man-Suk Oh

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2004.07.023

zbMATH Keywords

model selectionMarkov chain Monte Carlononlinearitymultiple test

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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