BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES

John Geweke; Nobuhiko Terui

doi:10.1111/j.1467-9892.1993.tb00156.x

BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES

John Geweke, Nobuhiko Terui

ビジネスエコノミクス学科

研究成果: Article › 査読

88 被引用数 (Scopus)

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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
巻	14
号	5
DOI	https://doi.org/10.1111/j.1467-9892.1993.tb00156.x
出版ステータス	Published - 9月 1993

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10.1111/j.1467-9892.1993.tb00156.x

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title = "BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES",

abstract = "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.",

keywords = "Canadian lynx, Monte Carlo integration, Nonlinear time series, Wolfe's sunspot, regime change prediction, threshold model",

author = "John Geweke and Nobuhiko Terui",

year = "1993",

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doi = "10.1111/j.1467-9892.1993.tb00156.x",

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AU - Geweke, John

AU - Terui, Nobuhiko

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Y1 - 1993/9

N2 - 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.

AB - 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.

KW - Canadian lynx

KW - Monte Carlo integration

KW - Nonlinear time series

KW - Wolfe's sunspot

KW - regime change prediction

KW - threshold model

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DO - 10.1111/j.1467-9892.1993.tb00156.x

M3 - Article

AN - SCOPUS:84981378466

SN - 0143-9782

VL - 14

SP - 441

EP - 454

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

IS - 5

ER -

BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES

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