skip to content
Accessibility
Normal text size
Medium text size
Large text size
Extra Large text size

Bayesian Dynamic models for non-linear auto-regressive processes

Theme(s): Bayesian Statistics


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.
© The Open University   +44 (0)845 300 60 90   Email us