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Keywords:
periodic autoregression; vague prior density; innovation process; changing variances; simulated series; real data
periodic autoregression; vague prior density; innovation process; changing variances; simulated series; real data
Summary:
Methods for estimating parameters and testing hypotheses in a periodic autoregression are investigated in the paper. The parameters of the model are supposed to be random variables with a vague prior density. The innovation process can have either constant or periodically changing variances. Theoretical results are demonstrated on two simulated series and on two sets of real data.
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