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Predictive density criterion for SETAR models
- Source :
- Communications in Statistics - Simulation and Computation. 51:443-459
- Publication Year :
- 2019
- Publisher :
- Informa UK Limited, 2019.
-
Abstract
- This paper deals with the problem of joint determination of the delay parameter and autoregressive orders of the Self-Exciting Threshold Autoregressive (SETAR) models. More specifically, we propose...
- Subjects :
- Statistics and Probability
Statistics::Theory
021103 operations research
Statistics::Applications
Bayesian probability
0211 other engineering and technologies
SETAR
Statistics::Other Statistics
02 engineering and technology
01 natural sciences
010104 statistics & probability
Autoregressive model
Modeling and Simulation
Statistics
Econometrics
Statistics::Methodology
0101 mathematics
Mathematics
Subjects
Details
- ISSN :
- 15324141 and 03610918
- Volume :
- 51
- Database :
- OpenAIRE
- Journal :
- Communications in Statistics - Simulation and Computation
- Accession number :
- edsair.doi...........f094493d46c5947a8f2ca0a9f608f105
- Full Text :
- https://doi.org/10.1080/03610918.2019.1653915