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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Abraham, B., Wei, W.W.S. Inferences about the parameters of a time series model with changing variance. Metrika 31, 183–194 (1984). https://doi.org/10.1007/BF01915199
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DOI: https://doi.org/10.1007/BF01915199