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Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs

Xia, Qiang and Liu, Jinshan and Pan, Jiazhu and Liang, Rubing (2012) Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs. Communications in Statistics - Simulation and Computation, 41 (6). pp. 1089-1104. ISSN 0361-0918

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Abstract

We consider Bayesian analysis of threshold autoregressive moving average model with exogenous inputs (TARMAX). In order to obtain the desired marginal posterior distributions of all parameters including the threshold value of the two-regime TARMAX model, we use two different Markov chain Monte Carlo (MCMC) methods to apply Gibbs sampler with Metropolis-Hastings algorithm. The first one is used to obtain iterative least squares estimates of the parameters. The second one includes two MCMC stages for estimate the desired marginal posterior distributions and the parameters. Simulation experiments and a real data example show support to our approaches.

Item type: Article
ID code: 40687
Keywords: Bayesian analysis, Gibbs sampler, Metropolis-Hastings algorithm, TARMAX model, Probabilities. Mathematical statistics, Modelling and Simulation, Statistics and Probability
Subjects: Science > Mathematics > Probabilities. Mathematical statistics
Department: Faculty of Science > Mathematics and Statistics
Related URLs:
Depositing user: Pure Administrator
Date Deposited: 02 Aug 2012 14:40
Last modified: 27 Mar 2014 10:24
URI: http://strathprints.strath.ac.uk/id/eprint/40687

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