Journal article 1418 views
Quantile self-exciting threshold autoregressive time series models
,
Julian Stander
journal of time series analysis, Volume: 29, Issue: 1, Pages: 186 - 202
Swansea University Author:
Yuzhi Cai
Full text not available from this repository: check for access using links below.
DOI (Published version): 10.1111/j.1467-9892.2007.00551.x
Abstract
<p>In this paper we present a Bayesian approach to quantile self-exciting threshold autoregressive time series models. The simulation work shows that the method can deal very well with nonstationary time series with very large, but not necessarily symmetric, variations. The methodology has als...
| Published in: | journal of time series analysis |
|---|---|
| ISSN: | 1647-9892 |
| Published: |
Blackwell Publishing Ltd
2008
|
| Online Access: |
Check full text
|
| URI: | https://cronfa.swan.ac.uk/Record/cronfa7004 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Abstract: |
<p>In this paper we present a Bayesian approach to quantile self-exciting threshold autoregressive time series models. The simulation work shows that the method can deal very well with nonstationary time series with very large, but not necessarily symmetric, variations. The methodology has also been applied to the growth rate of US real GNP data and some interesting results have been obtained.</p> |
|---|---|
| Keywords: |
Bayesian methods; MCMC; quantile SETAR model; simulation; US GNP. |
| College: |
Faculty of Humanities and Social Sciences |
| Issue: |
1 |
| Start Page: |
186 |
| End Page: |
202 |