Bayesian estimation and model selection of a multivariate smooth transition autoregressive model
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DOI: 10.1002/env.2615
Abstract: The multivariate smooth transition autoregressive model with order k (M‐STAR)(k) is a nonlinear multivariate time series model able to capture regime changes in the conditional mean. The main aim of this paper is to develop… read more here.
Keywords: autoregressive model; transition autoregressive; smooth transition; transition ... See more keywords