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|Title:||Bayesian prediction in threshold autoregressive models with exponential white noise|
|Abstract:||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 parameter, and to compute one-step-ahead predictive density functions. The proposed methodology is illustrated with a simulation study and a real example.|
|Appears in Collections:||MAT - Artigos|
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