On MCMC sampling in self-exciting integer-valued threshold time series models
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DOI: 10.1016/j.csda.2021.107410
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- Kai Yang & Yiwei Zhao & Han Li & Dehui Wang, 2023. "On bivariate threshold Poisson integer-valued autoregressive processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(8), pages 931-963, November.
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Keywords
Integer-valued time series; Threshold autoregressive model; Bayesian inference; MCMC sampling; Latent variables;All these keywords.
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