書誌事項
- タイトル別名
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- Bayesian Estimation of Threshold Auto Regressive Model, whose disturbance obey t distribution
- ゴサコウ ニ t ブンプ オ カテイ シタ イキチ ジコ カイキ モデル ノ ベイズ スイテイ
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説明
論文(Article)
In this paper we introduce Threshold Auto Regressive Model, whose disturbance obey t distribution. We name this model t-TAR and show how to estimate the model by Bayesian MCMC method. The difference of ordinary TAR model from t-TAR model is only distribution of disturbance. But when we estimate the model, the difference makes estimation difficult. We use complicated but efficient sampling method, rejection sampling chain. In this paper we estimate 2 regime t-TAR model whose lag order is commonly 1, and confirm validity of the proposed method.
収録刊行物
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- 山形大学紀要. 社会科学 = Bulletin of Yamagata University. Social Science
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山形大学紀要. 社会科学 = Bulletin of Yamagata University. Social Science 36 (1), 77-96, 2005-07-29
山形大学
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詳細情報 詳細情報について
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- CRID
- 1050001202576868736
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- NII論文ID
- 110001900490
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- NII書誌ID
- AN00243021
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- ISSN
- 05134684
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- NDL書誌ID
- 7805157
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- 本文言語コード
- ja
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- 資料種別
- departmental bulletin paper
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- データソース種別
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- IRDB
- NDL
- CiNii Articles