BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES

John Geweke, Nobuhiko Terui

研究成果: Article査読

79 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)441-454
ページ数14
ジャーナルJournal of Time Series Analysis
14
5
DOI
出版ステータスPublished - 1993 9
外部発表はい

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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