Sankhya: The Indian Journal of Statistics
2000, Volume 62, Series B, Pt. 3, pp. 353--371
BAYESIAN ANALYSIS OF THRESHOLD AUTOREGRESSIVE MOVING AVERAGE MODELS
THELMA SÁFADI, Federal University of Lavras, Brazil
PEDRO A. MORRETIN, University of São Paulo, Brazil
SUMMARY. In this paper we consider a Bayesian analysis for threshold autoregressive moving average models. Two different methods are used for the special case of two regimes. In the first we consider a hierarchical prior and obtain posterior distributions in closed form. In the second, a rearranged procedure due Tsay (1989) is used, in conjunction with the Gibbs sampler and Metropolis-Hastings algorithm. Applications are given for a simulated series and for the sunspot data.
AMS (1991) subject classification. 62F15, 62M10.
Key words and phrases. ARMA models, Bayesian analysis, Gibbs sampler, Metropolis-Hastings algorithm, predictive distribution, rearranged autoregression, TARMA model, threshold.
Full paper (PDF)
This article in Mathematical Reviews