Estimación Bayesiana de los parámetros estructurales de los modelos Multivariados Autoregresivos de Umbrales con ruido t-Student multivariado
Sometimes it is necessary to work with multivariate time series that have heavy tails and in particular multivariate Student t-noise. Unfortunately, there is no Bayesian methodology in the literature known to the author that allows estimating the structural parameters of a multivariate TAR model. In...
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| Tipo de recurso: | tesis de maestría |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2020 |
| País: | Colombia |
| Institución: | Universidad Nacional de Colombia |
| Repositorio: | Repositorio UN |
| Idioma: | español |
| OAI Identifier: | oai:repositorio.unal.edu.co:unal/77786 |
| Acceso en línea: | https://repositorio.unal.edu.co/handle/unal/77786 |
| Access Level: | acceso abierto |
| Palabra clave: | 500 - Ciencias naturales y matemáticas Bayesian Analysis Monte Carlo Markov Chain Multivariate threshold autoregressive models Análisis Bayesiano Cadenas de Markov Monte Carlo Modelos multivariados autoregresivos de umbrales |
| Sumario: | Sometimes it is necessary to work with multivariate time series that have heavy tails and in particular multivariate Student t-noise. Unfortunately, there is no Bayesian methodology in the literature known to the author that allows estimating the structural parameters of a multivariate TAR model. In this sense, the analysis of the autoregressive multivariate models of thresholds and multivariate t-Student noise is carried out via the Bayesian approach and the proposed methodology is examined through simulations and an application in the stock market field. |
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