A Bayesian approach in threshold moving average model for time series with two regimes is provided. The posterior distribution of the delay and threshold parameters are used to examine and investigate the intrinsic characteristics of this nonlinear time series model. The proposed approach is applied to both simulated data and a real data set obtained from a chemical system. Key words: Threshold time series, moving average model, Bayesian
Smadi, Mahmoud M. and Alodat, M. T.
"Bayesian Threshold Moving Average Models,"
Journal of Modern Applied Statistical Methods: Vol. 10
, Article 23.
Available at: http://digitalcommons.wayne.edu/jmasm/vol10/iss1/23