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

页码：55 / 71

页数：16

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