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Details for article 5 of 18 found articles
| Title: |
Bayesian analysis of bilinear time series models : a gibbs sampling approach |
| Author: |
Chen, Cathy W.S. |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 21 (1992) nr. 12 pages 3407-3425 |
| Year: |
1992 |
| Contents: |
Nonlinear time series analysis plays an important role in recent econometric literature, especially the bilinear model. In this paper, we cast the bilinear time series model in a Bayesian framework and make inference by using the Gibbs sampler, a Monte Carlo method. The methodology proposed is illustrated by using generated examples, two real data sets, as well as a simulation study. The results show that the Gibbs sampler provides a very encouraging option in analyzing bilinear time series. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 5 of 18 found articles
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