Xia, Qiang; Pan, Jiazhu; Zhang, Zhiqiang; Liu, Jinshan - In: Journal of Time Series Analysis 31 (2010) 5, pp. 329-336
We propose a Bayesian test for nonlinearity of threshold moving average (TMA) models. First, we obtain the marginal posterior densities of all parameters, including the threshold and delay, of the TMA model using Gibbs sampler with the Metropolis-Hastings algorithm. And then, we adopt...
