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IJSTR >> Volume 9 - Issue 3, March 2020 Edition



International Journal of Scientific & Technology Research  
International Journal of Scientific & Technology Research

Website: http://www.ijstr.org

ISSN 2277-8616



Bayesian Inference To Multiple Changes In The Variance Of AR (P) Time Series Model

[Full Text]

 

AUTHOR(S)

Vijayakumar.M, Poovizhi.K, Venkatesan.D

 

KEYWORDS

Time series model; Autoregressive model; Variance change; Posterior distribution.

 

ABSTRACT

The problem of a change in the mean of a sequence of random variables at an unknown time point has been addressed extensively in the literature. But, the problem of a change in the variance at an unknown time point has, however, been covered less widely. This paper analyses a sequence of autoregressive, AR(p), time series model in which the variance may have subjected to multiple changes at an unknown time points. Posterior distributions are found both for the unknown points of time at which the changes occurred and for the parameters of the model. A numerical example is discussed.

 

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