Picture of scraped petri dish

Scrape below the surface of Strathprints...

The Strathprints institutional repository is a digital archive of University of Strathclyde research outputs. Explore world class Open Access research by researchers at Strathclyde, a leading technological university.

Explore

A Bayesian nonlinearity test for threshold moving average models

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.

[img]
Preview
PDF
Journal_of_Time_Series_Analysis_2010_.pdf - Draft Version

Download (705kB) | Preview

Abstract

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.