誤差項にt分布を仮定した閾値自己回帰モデルのベイズ推定

IR Web Site

Bibliographic Information

Other Title
  • 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

Search this article

Abstract

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.

Journal

Details 詳細情報について

Report a problem

Back to top