On inference for threshold autoregressive models

Test

Volumn 11, Issue 1, 2002, Pages 55-71

  Stramer, Osnat ^a   Lin, Yu Jau ^a  

^a UNIVERSITY OF IOWA   (United States)

Author keywords

Bayesian model comparison; Reversible jump; Threshold autoregression; Wolfe's sunspot

Indexed keywords

EID: 0036618535     PISSN: 11330686     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF02595729     Document Type: Article

References (20)

1. A candidate's formula: A curious result in Bayesian prediction
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4. Bayesian inference of threshold autoregressive models
5. Marginal likelihood from the Metropolis-Hastings output
6. Bayesian threshold autoregressive models for nonlinear time series
7. On the relationship between MCMC model uncertainty methods
8. Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
9. Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
10. MCMC methods for computing Bayes factors: A comparative review
11. Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
12. Bayesian analysis of threshold autoregressive processes with a random number of regimes
13. State-dependent models: A general approach to nonlinear time series analysis
14. Estimating the dimension of a model
15. A reversible jump sampler for autoregressive time series
16. MCMC methods for restoration of nonlinearity distorted autoregressive signals