Bayesian inference for order determination of double threshold variables autoregressive models

Abstract The reversible-jump Markov chain Monte Carlo (RJMCMC) algorithm can generate a jump Markov chain in the parameter space of different dimensions, and select a suitable model effectively. In this paper, when the order of the double threshold variables autoregressive (DT-AR) is unknown, the RJMCMC method is designed to identify the order of the DT-AR model in this paper. The simulation experiments and the real example show that the proposed method works well in identifying the order and estimating the parameters of the DT-AR model simultaneously.