Bayesian Threshold Moving Average Models

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Bayesian Analysis of Threshold Autoregressive Moving Average Models

In recent years non-linear models have been studied thoroughly and their analysis is facilitated due to increasing developments in computational methodologies. The classical Bayesian linear models are unable to reproduce some of the features frequently found in observed time series, e.g. non-linear processes exhibit such interesting properties as amplitude frequency dependence, limit cycle beha...

متن کامل

Ergodicity and invertibility of threshold moving-average models

We investigate the first-order threshold moving-average model. We obtain a sufficient condition for a unique strictly stationary and ergodic solution of the model without the need to check irreducibility. We also establish necessary and sufficient conditions for its invertibility of first-order . Furthermore, we discuss the extension of the results to the first-order multiple threshold moving-a...

متن کامل

Estimating threshold subset autoregressive moving - average models by genetic algorithms

A genetic algorithm is proposed to estimate the parameters of a selfexciting threshold subset autoregressive moving-average model. The threshold model is composed of several linear autoregressive moving-average models. Each one of these models applies according to a “switch mechanism” that is based on the comparison between the delayed observation and some “threshold” values. Our procedure inco...

متن کامل

A Genetic Algorithm for Estimating Subset Threshold Autoregressive Moving Average Models: Some Simulation Results

The class of the subset threshold autoregressive moving average is introduced. A genetic algorithm is presented which may simultaneously select the threshold parameter and structure of each regime model. The performance of the proposed algorithm is evaluated by means of a simulation study.

متن کامل

Stationarity of Generalized Autoregressive Moving Average Models

Time series models are often constructed by combining nonstationary effects such as trends with stochastic processes that are believed to be stationary. Although stationarity of the underlying process is typically crucial to ensure desirable properties or even validity of statistical estimators, there are numerous time series models for which this stationarity is not yet proven. A major barrier...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Modern Applied Statistical Methods

سال: 2011

ISSN: 1538-9472

DOI: 10.22237/jmasm/1304223720