NON-LINEAR TIME SERIES MODELLING AND DISTRIBUTIONAL FLEXIBILITY
نویسندگان
چکیده
منابع مشابه
Modelling and analysis of non-linear time series
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This paper reviews the analysis of the threshold autoregressive, smooth threshold autoregressive, and Markov switching autoregressive models from the Bayesian perspective. For each model we start by describing a baseline model and discussing possible extensions and applications. Then we review the choice of prior, inference, tests against the linear hypothesis, and conclude with models selectio...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 1994
ISSN: 0143-9782,1467-9892
DOI: 10.1111/j.1467-9892.1994.tb00178.x