References
- Tong H, Lim KS. Threshold autoregression, limit cycles and cyclical data. J R Stat Soc B. 1980;42:245–268. doi:10.1111/j.2517-6161.1980.tb01126.x
- Tong H. Nonlinear time series: a dynamical system approach. Oxford: Oxford University Press; 1990.
- Wu S, Chen R. Threshold variable determination and threshold variable driven switching autoregressive models. Stat Sinica. 2007;17:241–264.
- Chan KS, Tong H. On estimating thresholds in autoregressive models. Ann Stat. 1986;7:179–190.
- Hamilton JD. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica. 1989;57:357–384. doi:10.2307/1912559
- McCulloch RE, Tsay RS. Statistical inference of macroeconomic time series via markov switching models. J Time Ser Anal. 1994;15:523–539. doi:10.1111/jtsa.1994.15.issue-5
- Li GD, Guan B, Li WK, et al. Hysteretic autoregressive time series models. Biometrika. 2015;102:717–723. doi:10.1093/biomet/asv017
- Chen CWS, Truong BC. On double hysteretic heteroskedastic model. J Stat Comput Sim. 2016;86:2684–2705. doi:10.1080/00949655.2015.1123262
- Truong BC, Chen CWS, Sriboonchitta S. Hysteretic poisson INGARCH model for integer-valued time series. Stat Model. 2017;17:401–422. doi:10.1177/1471082X17703855
- Chen CWS, Than-Thi H, So MKP. On hysteretic vector autoregressive model with applications. J Stat Comput Sim. 2019;89:191–210. doi:10.1080/00949655.2018.1540619
- Li DG, Zeng RC, Zhang LW, et al. Conditional quantile estimation for hysteretic autoregressive models. Stat Sinica. 2020;30:809–827.
- Tsay R. Multivariate hysteretic autoregressive models. Stat Sinica. 2021;31:2257–2274.
- Yang K, Zhao XY, Dong X, et al. Self-exciting hysteretic binomial autoregressive processes. Stat Pap. 2023. doi:10.1007/s00362-023-01444-x
- Yu K, Moyeed RA. Bayesian quantile regression. Stat Probab Lett. 2001;54:437–447. doi:10.1016/S0167-7152(01)00124-9
- Tsionas EG. Bayesian quantile inference. J Stat Comput Sim. 2003;73:659–674. doi:10.1080/0094965031000064463
- Yu K, Stander J. Bayesian analysis of a Tobit quantile regression model. J Econom. 2007;137:260–276. doi:10.1016/j.jeconom.2005.10.002
- Kozumi H, Kobayashi G. Gibbs sampling methods for Bayesian quantile regression. J Stat Comput Sim. 2011;81:1565–1578. doi:10.1080/00949655.2010.496117
- Yang Y, Wang HJ, He X. Posterior inference in Bayesian quantile regression with asymmetric Laplace likelihood. Int Stat Rev. 2016;84:327–344. doi:10.1111/insr.v84.3
- Peng B, Yang K, Dong X. Variable selection for quantile autoregressive model: Bayesian methods versus classical methods. J Appl Stat. 2023;51:1098–1130. doi:10.1080/02664763.2023.2178642.
- Mitchell TJ, Beauchamp JJ. Bayesian variable selection in linear regression. J Am Stat Assoc. 1988;83:1023–1032. doi:10.1080/01621459.1988.10478694
- Xi R, Li Y, Hu Y. Bayesian quantile regression based on the empirical likelihood with spike and slab priors. Bayesian Anal. 2016;11:821–855. doi:10.1214/15-BA975
- Yang K, Ding X, Yuan X. Bayesian empirical likelihood inference and order shrinkage for autoregressive models. Stat Pap. 2021;63:97–121. doi:10.1007/s00362-021-01231-6
- Galvao Jr AF, Montes-Rojas G, Olmo J. Threshold quantile autoregressive models. J Time Ser Anal. 2011;32:253–267. doi:10.1111/j.1467-9892.2010.00696.x
- Koenker R. Quantiles regression. New York: Cambridge University Press; 2005.
- Li H, Yang K, Wang D. A threshold stochastic volatility model with explanatory variables. Stat Neerl. 2019;73:118–138. doi:10.1111/stan.v73.1
- Tibshirani R. Regression shrinkage and selection via the lasso. J R Stat Soc Ser B Stat Methodol. 1996;58:267–288. doi:10.1111/j.2517-6161.1996.tb02080.x
- Zou H. The adaptive lasso and its oracle properties. J Am Stat Assoc. 2006;101:1418–1429. doi:10.1198/016214506000000735
- Fan J, Li RZ. Variable selection via nonconcave penalized likelihood and its oracle properties. J Am Stat Assoc. 2001;96:1348–1360. doi:10.1198/016214501753382273
- Zhang C. Nearly unbiased variable selection under minimax concave penalty. Ann Stat. 2010;38:894–942. doi:10.1214/09-AOS729
- Yuzbasi B, Arashi M, Akdeniz F. Penalized regression via the restricted bridge estimator. Soft Comput. 2021;25:8401–8416. doi:10.1007/s00500-021-05763-9
- Spiegelhalte DJ, Best NG, Carlin BP, et al. Bayesian measures of model complexity and fit. J R Stat Soc Ser B Stat Methodol. 2002;64:583–639. doi:10.1111/1467-9868.00353
- Yang K, Zhang QQ, Yu XY, et al. Bayesian inference for a mixture double autoregressive model. Stat Neerl. 2022;77:188–207. doi:10.1111/stan.v77.2
- Gelman A, Rubin DB. Inference from iterative simulation using multiple sequences. Stat Sci. 1992;7:457–472.