Bayesian Estimation of Multivariate Threshold Autoregressive Models
Converts chains from the Bayesian estimation of a multivariate TAR mod...
Deviance information criterion (DIC)
Forecasting of a multivariate TAR model.
Bayesian estimation of a multivariate threshold autoregressive (TAR) m...
Simulation of multivariate time series according to a TAR model
Watanabe-Akaike or Widely Available Information Criterion (WAIC)
Estimation, inference and forecasting using the Bayesian approach for multivariate threshold autoregressive (TAR) models in which the distribution used to describe the noise process belongs to the class of Gaussian variance mixtures.