Lopes, Hedibert F.; Salazar, Esther - In: Journal of Time Series Analysis 27 (2006) 1, pp. 99-117
In this paper, we propose a fully Bayesian approach to the special class of nonlinear time-series models called the logistic smooth transition autoregressive (LSTAR) model. Initially, a Gibbs sampler is proposed for the LSTAR where the lag length, k, is kept fixed. Then, uncertainty about k is...
