Bayesian prediction in threshold autoregressive models with exponential white noise
In this paper, we develop a Bayesian analysis of a threshold antoregressive model with exponential noise. An approximate Bayes methodology, which is introduced here; and the Gibbs sampler are used to compute marginal posterior densities for the parameters of the model; including the threshold parame...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | article |
| Language: | eng |
| Published: |
2011
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10773/4433 |
| Country: | Portugal |
| Oai: | oai:ria.ua.pt:10773/4433 |