Bayesian analysis of bilinear time series models : a gibbs sampling approach |
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Authors: | Cathy W.S. Chen |
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Affiliation: | Graduate Institute of Statistics , National Central University , Chung-li, R. 0. C, Taiwan |
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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. |
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Keywords: | Bayesian Bilinear Time Series Models Gibbs Sampler Future Observations |
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