We propose a solution to select promising subsets of autoregressive time series models for further consideration which follows up on the idea of the stochastic search variable selection procedure in . It is based on a Bayesian approach which is unconditional on the initial terms. The autoregression
Numerical issues in threshold autoregressive modeling of time series
✍ Scribed by Jerry Coakley; Ana-Marı́a Fuertes; Marı́a-Teresa Pérez
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 313 KB
- Volume
- 27
- Category
- Article
- ISSN
- 0165-1889
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