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A procedure for the modeling of non-stationary time series

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Summary

A minimum AIC procedure for the fitting of a locally stationary autoregressive model is proposed. The least squares computation for the procedure is realized by using the Householder transformation which makes the procedure computationally more flexible and efficient than the one originally proposed by Ozaki and Tong.

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Authors
  1. Genshiro Kitagawa
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  2. Hirotugu Akaike
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The Institute of Statistical Mathematics

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Kitagawa, G., Akaike, H. A procedure for the modeling of non-stationary time series. Ann Inst Stat Math 30, 351–363 (1978). https://doi.org/10.1007/BF02480225

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  • DOI: https://doi.org/10.1007/BF02480225

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