A Bayesian Analysis of the Threshold ARMA Model.pdfVIP

A Bayesian Analysis of the Threshold ARMA Mo del Thelma Safadi and Pedro A Morettin Department of Statistics University of Sao Paulo Brazil Abstract In this pap er we consider a Bayesian analysis for the threshold autoregressive moving average mo del with k regimes and orders p q k B X B a if X p t 0 q t t d p q where B B B B B B p 1 p q 1 q k and the at are iid N 1 the precision supp osed to b e common to all the regimes forming a partition of the real line d is the delay parameter For the sp ecial case k we derive the p osterior and marginal distributions under b oth a normal gamma and Jereys priors The predictive distribution is also derived and an application to the Canadian Lynx series is given Key words ARMA mo dels Bayesian analysis thresholdpredictive distribution TARMA mo dels Intro duction In this pap er we extend in a simple way the works of Bro emeling and Shaarawy and Bro emeling and Co ok on the Bayesian analysis of ARMAautoregressive mov ing average and TARthreshold autoregressive mo dels rep ectively We consider TARMA threshold autoregressive moving average mo dels For details of TAR mo dels see Tong including physical applications related to limit cyclesAs in the usual ARMA mo dels the consideration of mixed mo dels relies on the issue of parcimony mean ing that we may have less parameters