Text only About us Job opportunities Contact us
The Mathematics and Statistics Department To Faculty website
Home Printable Version Site Map Ask Us
Bayesian Dynamic models for non-linear auto-regressive processes
Theme: Bayesian Statistics
Web: Permalink to this page

This research investigates alternative Bayesian approaches to the existing static smooth transition auto-regressive (STAR) models for auto-regressive non-linear time series. The approaches we propose are dynamic and analytic being thus suitable for non-stationary real-time AR processes such as those exhibiting asymmetric cycles and/or sudden changes of level and variability. Examples include unemployment rates, industrial production and hourly electricity consumption and prices data.

This Project's...
This Themes' Collaborators

© The Open University 2004-2018