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Title: Bayesian prediction in threshold autoregressive models with exponential white noise
Author: Pereira, IMS
Amaral-Turkman, MA
Keywords: Threshold model
Bayesian prediction
Gibbs sampler
Issue Date: 2004
Publisher: Springer Verlag
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.
Peer review: yes
ISSN: 1133-0686
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Appears in Collections:MAT - Artigos

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