Subset selection of double-threshold moving average models through the application of the Bayesian method

Liu, Jinshan and Pan, Jiazhu and Xia, Qiang and Xiao, Ying (2022) Subset selection of double-threshold moving average models through the application of the Bayesian method. Statistics and Its Interface, 15 (1). pp. 51-61. ISSN 1938-7989 (https://doi.org/10.4310/21-SII674)

[thumbnail of Liu-etal-SII-2021-Subset-selection-of-double-threshold-moving-average-models-through-the-application]
Preview
 Text. Filename: Liu_etal_SII_2021_Subset_selection_of_double_threshold_moving_average_models_through_the_application.pdf
Accepted Author Manuscript
Download (318kB)| Preview

Abstract

The Bayesian method is firstly applied for the selection of the best subset for the double-threshold moving average (DTMA) model. The Markov chain Monte Carlo (MCMC) techniques and the stochastic search variable selection (SSVS) method are used to identify the best subset model from a very large number of possible models. Simulation experiments show that the proposed method is feasible and efficient, despite the complexity being increased by the large number of subsets, and the uncertainty of the threshold and delay variables. Our method is illustrated by real data analysis on the Yen-Dollar exchange rate.

  • Item type:Article
    ID code:76148
    Dates:
    Date
    Event
    15 January 2022
    Published
    11 August 2021
    Published Online
    12 April 2021
    Accepted
    Subjects:Science > Mathematics
    Department:Faculty of Science > Mathematics and Statistics
    Depositing user: Pure Administrator
    Date deposited:19 Apr 2021 14:46
    Last modified:01 May 2024 01:15
    URI:https://strathprints.strath.ac.uk/id/eprint/76148
CORE (COnnecting REpositories)