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

Kai YangXinyang YuQingqing ZhangXiaogang 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