Best Subset Selection for Double-Threshold-Variable Autoregressive Moving-Average Models: The Bayesian Approach
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DOI: 10.1007/s10614-021-10124-7
Abstract: In this paper, we propose an effective Bayesian subset selection method for the double-threshold-variable autoregressive moving-average (DT-ARMA) models. The usual complexity of estimation is increased mainly by capturing the correlation between two threshold variables and… read more here.
Keywords: threshold variable; moving average; double threshold; subset selection ... See more keywords