The standard approach for studying the periodic ARMA model with coefficients that vary over the seasons is to express it in a vector form. In this paper we introduce an alternative method which views the periodic formulation as a time varying univariate process and obviates the need for vector...

The paper examines the problem of representing the dynamics of low order autoregressive (AR) models with time varying (TV) coefficients. The existing literature computes the forecasts of the series from a recursion relation. Instead, we provide the linearly independent solutions to TV-AR models....