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...

Full description

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