Bayesian Estimation of Multivariate Threshold Autoregressive Models
Auxiliary function to specify the number of regimes and lag orders
Coercion of mtar objects to mcmc objects
coef method for objects of class mtar
Deviance Information Criterion (DIC) for objects of class mtar
Deviance Information Criterion (DIC)
Geweke's convergence diagnostic for mtar objects
Geweke-Brooks plot for objects of class mtar
Highest Posterior Density intervals for objects of class mtar
Bayesian Estimation of Multivariate TAR Models
Bayesian estimation of a multivariate Threshold Autoregressive (TAR) m...
Out-of-sample predictive accuracy measures
Forecasting for multivariate TAR models
Auxiliary function for setting hyperparameter values
Simulation of multivariate time series from a TAR model
vcov method for objects of class mtar
Watanabe-Akaike or Widely Available Information Criterion (WAIC) for o...
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.