Bayesian analysis of bilinear time series models : a gibbs sampling approach
- 1 January 1992
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 21 (12) , 3407-3425
- https://doi.org/10.1080/03610929208830987
Abstract
Nonlinear time series analysis plays an important role in recent econometric literature, especially the bilinear model. In this paper, we cast the bilinear time series model in a Bayesian framework and make inference by using the Gibbs sampler, a Monte Carlo method. The methodology proposed is illustrated by using generated examples, two real data sets, as well as a simulation study. The results show that the Gibbs sampler provides a very encouraging option in analyzing bilinear time series.Keywords
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