Bayesian prediction in threshold autoregressive models with exponential white noise
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DOI: 10.1007/BF02603000
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References listed on IDEAS
- 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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Keywords
Threshold model; Bayesian prediction; Gibbs sampler; 62CF15; 62M10; 62M20;All these keywords.
JEL classification:
Statistics
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