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Bayesian inference for order determination of double threshold variables autoregressive models.
- Source :
- Studies in Nonlinear Dynamics & Econometrics; Sep2023, Vol. 27 Issue 4, p567-587, 21p
- Publication Year :
- 2023
-
Abstract
- The reversible-jump Markov chain Monte Carlo (RJMCMC) algorithm can generate a jump Markov chain in the parameter space of different dimensions, and select a suitable model effectively. In this paper, when the order of the double threshold variables autoregressive (DT-AR) is unknown, the RJMCMC method is designed to identify the order of the DT-AR model in this paper. The simulation experiments and the real example show that the proposed method works well in identifying the order and estimating the parameters of the DT-AR model simultaneously. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 10811826
- Volume :
- 27
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- Studies in Nonlinear Dynamics & Econometrics
- Publication Type :
- Academic Journal
- Accession number :
- 172415942
- Full Text :
- https://doi.org/10.1515/snde-2020-0096