A Bayesian analysis of generalized threshold autoregressive models
AbstractThe threshold autoregressive (TAR) model is generalized which results in more flexibility in applications. We construct a Bayesian framework to show that Markov chain Monte Carlo method can be applied to estimating parameters with success.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 40 (1998)
Issue (Month): 1 (September)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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