BAYESIAN INFERENCE TO MULTIPLE CHANGES IN THE VARIANCE OF AR(p) TIME SERIES MODEL

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 be 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 also discussed.