Inferences about the parameters of a time series model with changing variance |
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| Authors: | B. Abraham W. W. S. Wei |
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| Affiliation: | (1) Faculty of Mathematics, Department of Statistics, University of Waterloo, N2L 3G 1 Waterloo, Ontario, Canada;(2) Temple University, 19122 Philadelphia, PA, USA |
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| Abstract: | Summary We consider the problem of making inferences about the parameters of a time series model when there is the possibility of a discrete variance change at an unknown time point. For this we obtain the posterior distributions of the parameters and of the variance ratio. |
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