On inference for threshold autoregressive models

被引：0
|
作者：
Osnat Stramer
Yu-Jau Lin
机构：
[1] University of Iowa,Department of Statistics and Actuarial Science
来源：
Test | 2002年 / 11卷
关键词：
Bayesian model comparison; reversible jump; threshold autoregression; Wolfe’s sunspot; 62M10; 62F15;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We provide a complete Bayesian method for analyzing a threshold autoregressive (TAR) model when the order of the model is unknown. Our approach is based on a version (Godsill (2001)) of the reversible jump algorithm of Green (1995), and the method for estimating marginal likelihood from the Metropolis-Hasting algorithm by Chib and Jeliazkov (2001). We illustrate our results with simulated data and the Wolfe’s sunspot data set.
引用
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页码：55 / 71
页数：16
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