We present new methods for modelling nonlinear threshold-type autoregressive behaviour in periodically correlated time series. The methods are illustrated using a series of average monthly flows of the Fraser River in British Columbia. Commonly used nonlinearity tests of the river flow data in...

We describe a Bayesian method for detecting structural changes in a long-range dependent process. In particular, we focus on changes in the long-range dependence parameter, d, and changes in the process level, p. Markov chain Monte Carlo (MCMC) methods are used to estimate the posterior...