https://nova.newcastle.edu.au/vital/access/ /manager/Index en-au 5 https://nova.newcastle.edu.au/vital/access/ /manager/Repository/uon:1207 Sat 24 Mar 2018 08:28:41 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 ]]>