Hindrayanto, Irma; Koopman, Siem Jan; Ooms, Marius - In: Computational Statistics & Data Analysis 54 (2010) 11, pp. 2641-2654
Time series models with parameter values that depend on the seasonal index are commonly referred to as periodic models. Periodic formulations for two classes of time series models are considered: seasonal autoregressive integrated moving average and unobserved components models. Convenient state...