TAR Modeling with Missing Data when the White Noise Process Follows a Student’s t-Distribution
This paper considers the modeling of the threshold autoregressive (TAR) process, which is driven by a noise process that follows a Student’s t-distribution. The analysis is done in the presence of missing data in both the threshold process {Zt} and the interest process {Xt}. We develop a three-stage...
- Autores:
-
Zhang, Hanwen
Nieto, Fabio H.
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2015
- Institución:
- Universidad Nacional de Colombia
- Repositorio:
- Universidad Nacional de Colombia
- Idioma:
- spa
- OAI Identifier:
- oai:repositorio.unal.edu.co:unal/66551
- Acceso en línea:
- https://repositorio.unal.edu.co/handle/unal/66551
http://bdigital.unal.edu.co/67579/
- Palabra clave:
- 51 Matemáticas / Mathematics
31 Colecciones de estadística general / Statistics
Bayesian Statistics
Gibbs Sampler
Missing Data
Forecasting
Time Series
Threshold Autoregressive Model
Datos faltantes
Estadística Bayesiana
Modelo autoregresivo de umbrales
Muestreador de Gibbs
Pronóstico
Series de tiempo
- Rights
- openAccess
- License
- Atribución-NoComercial 4.0 Internacional