https://nova.newcastle.edu.au/vital/access/ /manager/Index ${session.getAttribute("locale")} 5 https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:52019 Wed 27 Sep 2023 09:55:21 AEST ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:2896 Wed 24 Jul 2013 22:54:23 AEST ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:2897 Wed 24 Jul 2013 22:54:23 AEST ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:1835 Wed 11 Apr 2018 11:36:30 AEST ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:8784 Wed 11 Apr 2018 09:22:26 AEST ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:45597 Wed 02 Nov 2022 13:52:56 AEDT ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:445 Thu 25 Jul 2013 09:09:49 AEST ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:7052 Sat 24 Mar 2018 08:37:59 AEDT ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:1704 Sat 24 Mar 2018 08:27:38 AEDT ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:21186 Sat 24 Mar 2018 07:52:33 AEDT ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:19981 Sat 24 Mar 2018 07:50:58 AEDT ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:6125 Sat 24 Mar 2018 07:44:37 AEDT ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:6124 Sat 24 Mar 2018 07:44:37 AEDT ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:30538 Sat 24 Mar 2018 07:26:32 AEDT ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:38425 Mon 29 Jan 2024 17:59:37 AEDT ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:53908 Mon 22 Jan 2024 15:11:31 AEDT ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:43051 k (M-STAR)(k) is a nonlinear multivariate time series model able to capture regime changes in the conditional mean. The main aim of this paper is to develop a Bayesian estimation scheme for the M-STAR(k) model that includes the coefficient parameter matrix, transition function parameters, covariance parameter matrix, and the model order k as parameters to estimate. To achieve this aim, the joint posterior distribution of the parameters for the M-STAR(k) model is derived. The conditional posterior distributions are then shown, followed by the design of a posterior simulator using a combination of Markov chain Monte Carlo (MCMC) algorithms that includes the Metropolis-Hastings, Gibbs sampler, and reversible jump MCMC algorithms. Following this, extensive simulation studies, as well as case studies, are detailed at the end.]]> Mon 12 Sep 2022 14:16:24 AEST ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:11121 Mon 09 Sep 2019 12:53:18 AEST ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:42023 k)–GARCH(l, m) model is a non-linear time series model that is able to account for changes in both regime and volatility respectively. The model can be widely applied to analyse the dynamic behaviour of data exhibiting these two phenomenons in areas such as finance, hydrology and climate change. The main aim of this paper is to perform a Bayesian analysis of STAR(k)–GARCH(l, m) models. The estimation procedure will include estimation of the mean and variance coefficient parameters, the parameters of the transition function, as well as the model orders (k, l, m). To achieve this aim, the joint posterior distribution of the model orders, coefficient and implicit parameters in the logistic STAR(k)–GARCH(l, m) model is presented. The conditional posterior distributions are then derived, followed by the design of a posterior simulator using a combination of MCMC algorithms which includes Metropolis–Hastings, Gibbs Sampler and Reversible Jump MCMC algorithms. Following this are extensive simulation studies and a case study presenting the methodology.]]> Fri 22 Sep 2023 10:09:45 AEST ]]> https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:21563 Fri 20 Jul 2018 15:27:48 AEST ]]>