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Time-varying parameter auto-regressive models for autocovariance nonstationary time series

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Abstract

In this paper, autocovariance nonstationary time series is clearly defined on a family of time series. We propose three types of TVPAR (time-varying parameter auto-regressive) models: the full order TVPAR model, the time-unvarying order TVPAR model and the time-varying order TVPAR model for autocovariance nonstationary time series. Related minimum AIC (Akaike information criterion) estimations are carried out.

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Authors and Affiliations

  1. College of Textile and Clothing Engineering, Suzhou University, Suzhou, 215021, China

    WanChun Fei & Lun Bai

Authors
  1. WanChun Fei
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  2. Lun Bai
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Correspondence to WanChun Fei.

Additional information

This work was supported by the Doctoral Research Fund of the Ministry of Education, China (Grant No. 20040285008), and Grant-in-Aid for Scientific Research (B), the Ministry of Education, Science, Sports and Culture, Japan, 2005 (Grant No. 17300228)

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Fei, W., Bai, L. Time-varying parameter auto-regressive models for autocovariance nonstationary time series. Sci. China Ser. A-Math. 52, 577–584 (2009). https://doi.org/10.1007/s11425-008-0163-3

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  • DOI: https://doi.org/10.1007/s11425-008-0163-3

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