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Bayesian prediction in threshold autoregressive models with exponential white noise

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  • Isabel Pereira
  • M. Antonia Amaral-Turkman

Abstract

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Suggested Citation

  • Isabel Pereira & M. Antonia Amaral-Turkman, 2004. "Bayesian prediction in threshold autoregressive models with exponential white noise," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 13(1), pages 45-64, June.
    • Handle: RePEc:spr:testjl:v:13:y:2004:i:1:p:45-64
    DOI: 10.1007/BF02603000
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    References listed on IDEAS

    as
    1. Davis, Richard A. & McCormick, William P., 1989. "Estimation for first-order autoregressive processes with positive or bounded innovations," Stochastic Processes and their Applications, Elsevier, vol. 31(2), pages 237-250, April.
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