The SETAR model of Tong and Lim and advances in computation

Exploration of a Nonlinear World: An Appreciation of Howell Tong's Contributions to Statistics

Volumn , Issue , 2009, Pages 85-94

  Geweke, John ^a,b  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^b UNIVERSITY OF COLORADO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84969677212     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1142/9789812836281_0006     Document Type: Chapter

References (12)

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2. Geweke J. 2004. Getting it right: Joint distribution tests of posterior simulators. Journal of the American Statistical Association 99: 799-804.
3. Geweke J. 2007. Interpretation and inference in mixture models: Simple MCMC works. Computational Statistics and Data Analysis 51: 3529-3550.
4. Geweke J, Keane M. 2007. Smoothly mixing regressions. Journal of Econometrics 138: 252-291.
5. Geweke J, Terui N. 1993. Bayesian threshold autoregressive models for nonlinear time series. Journal of Time Series Analysis 14: 441-455.
6. Jiang WX, Tanner MA. 1999. Hierarchical mixtures-of-experts for exponential family regression models: Approximation and maximum likelihood estimation. The Annals of Statistics 27: 9871011.
7. Jordan MI, Jacobs RA. 1994. Hierarchical mixtures of experts and the EM algorithm. Neural Computation 6: 181-214.
8. Koop G, Potter SM. 1999. Dynamic asymmetries in US unemployment. Journal of Business and Economic Staistics 18: 298-312.
9. Lewis PAW, Stevens JG. 1991. Nonlinear modeling of time series using multivariate adaptive regression splines. Journal of the American Statistical Association 86: 864-877.
10. Sorensen DA, Andersen S, Gianola D, Korsgaard I. 1995. Bayesian inference in threshold models using Gibbs sampling. Genetics, Selection, Evolution 27: 229-249.
11. Stenseth NC, Falck W, Chan KS, Bjornstad ON, O'Donoghue M, Tong H, Boonstra R, Boutin S, Krebs CJ, Yoccoz NG. 1998. From patterns to processes: Phase and density dependencies in the Canadian lync cycle. Proceedings of the National Academy of Sciences 95: 15430-15435.
12. Tong H, Lim KS. 1980. Threshold autoregression, limit cycles and cyclical data. Journal of the Royal Statistical Society Series B 42: 245-292.