Published
2011-12-31

Estimación de los modelos TAR cuando el proceso del ruido sigue una distribución t

Estimation of TAR Models when the Noise Process Follows a t Distribution

DOI: https://doi.org/10.15332/s2027-3355.2011.0002.02
Hanwen Zhang
Docente investigadora. Universidad Santo Tomás.
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Abstract (en)

In this paper, TAR models with t noise is considered. A Bayesian procedure for estimation is developed when the model has been identified, that is, the structural parameters have been estimated. The method consists in finding the conditional posterior densities and use the Gibbs sampler. Simulated example shows that this methodology leads good estimates of the parameters.

Keywords (en): modelos TAR, ruido t, estimación bayesiana, muestreador de Gibbs

Abstract (es)

En este artículo se consideran los modelos TAR cuando el proceso de ruido sigue una distribución t. Se desarrolla un procedimiento bayesiano para la estimación de estos modelos cuando el modelo está identificado, es decir, cuando se conocen los parámetros estructurales. El método consiste en encontrar las densidades condicionales a posteriori de los parámetros e implementar un muestreador de Gibbs. Mediante un ejemplo simulado se encuentra que con esta metodología se logran buenas estimaciones de los parámetros.
Keywords (es): modelos TAR, ruido t, estimación bayesiana, muestreador de Gibbs

References

Moreno, E. C. (2010), Modelos tar en series de tiempo financieras., Master’s thesis, Universidad Nacional de Colombia.

Nieto, F. H. (2005), ‘Modeling bivariate threshold autoregressive processes in the presence of missing data.’ Communications in Statistics, Theory and Met-hods.34, 905 – 930.

Nieto, F. H. (2008), ‘Forecasting with univariate tar models.’ Statistical Metho-dology.5, 263 – 276.

Tong, H. (1978), ‘On a thereshold model.’ Pattern Recognition and Signal Processing, Ed. C. H. Chen. Sijthoff & Noordhoff, Netherlands. NATO ASI Series E: Applied Sc.29, 575 – 586.

Tsay, R. S. (1998), ‘Testing and modeling multivariate threshold models.’, J. Amer. Statist. Assoc.93, 1188 – 1202.

Watanabe, T. (2001), ‘On sampling the degree-of-freedom of student’s-tdisturba-ces’, Satisticas & Probability Letters52, 177 – 181.

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How to Cite

Zhang, H. (2011). Estimation of TAR Models when the Noise Process Follows a t Distribution. Comunicaciones En Estadística, 4(2), 109-119. https://doi.org/10.15332/s2027-3355.2011.0002.02

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