Abstract. This paper provides a Bayesian approach to statistical inference in the threshold autoregressive model for time series. The exact posterior distribution of the delay and threshold parameters is derived, as is the multi‐step‐ahead predictive density. The proposed methods are applied to the Wolfe's sunspot and Canadian lynx data sets.
|ジャーナル||Journal of Time Series Analysis|
|出版ステータス||Published - 1993 9|
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Applied Mathematics