Xia, Qing and Pan, Jiazhu and Zhang, Zhiqiang and Liu, Jinshan (2010) A Bayesian nonlinearity test for threshold moving average models. Journal of Time Series Analysis, 31 (5). pp. 329-336.
Journal_of_Time_Series_Analysis_2010_.pdf - Preprint
Download (705kB) | Preview
We propose a Bayesian test for nonlinearity of threshold moving average (TMA) models. First, we obtain the marginal posterior densities of all parameters, including the threshold and delay, of the TMA model using Gibbs sampler with the Metropolis-Hastings algorithm. And then, we adopt reversible-jump Markov chain Monte Carlo methods to calculate the posterior probabilities for MA and TMA models. Posterior evidence in favour of the TMA model indicates threshold nonlinearity. Simulation experiments and a real example show that our method works very well in distinguishing MA and TMA models.
|Keywords:||MA models, TMA models , RJMCMC methods, Metropolis-Hastings, Gibbs sampler, MA models, Bayesian inference, Probabilities. Mathematical statistics, Applied Mathematics, Statistics and Probability, Statistics, Probability and Uncertainty|
|Subjects:||Science > Mathematics > Probabilities. Mathematical statistics|
|Department:||Faculty of Science > Mathematics and Statistics|
|Depositing user:||Pure Administrator|
|Date Deposited:||22 Mar 2011 12:04|
|Last modified:||22 Mar 2017 11:17|