Using the reversible jump MCMC procedure for identifying and estimating univariate TAR models
One way that has been used for identifying and estimating threshold autoregressive (TAR) models for nonlinear time series follows the Markov chain Monte Carlo (MCMC) approach via the Gibbs sampler. This route has major computational difficulties, specifically, in getting convergence to the paramet...
| Autores Principales: | , |
|---|---|
| Formato: | Desconocido (Unknown) |
| Publicado: |
2020
|
| Materias: | |
| Acceso en línea: | http://hdl.handle.net/11634/21041 |