Generalized periodic autoregressive models for trend and seasonality varying time series
AbstractMany nonstationary time series exhibit changes in the trend and seasonality
structure, that may be modeled by splitting the time axis into different regimes.
We propose multi-regime models where, inside each regime, the trend is linear and
seasonality is explained by a Periodic Autoregressivemodel. In addition, for achieving
parsimony, we allow season grouping, i.e. seasons may consist of one, two, or
more consecutive observations. Identification is obtained by means of a Genetic Algorithm
that minimizes an identification criterion