On MCMC sampling in self-exciting integer-valued threshold time series models.

Kai Yang Xinyang Yu Qingqing Zhang Xiaogang Dong

Published in: Comput. Stat. Data Anal. (2022)

Keyphrases

markov chain monte carlo
integer valued
probabilistic model
parameter estimation
monte carlo
markov chain
neural network
bayesian networks
statistical models
hybrid model
autoregressive
sampling algorithm