A procedure for the modeling of non-stationary time series

  • Genshiro Kitagawa
  • Hirotugu Akaike


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.


Autoregressive Model Triangular Matrix Theoretical Spectrum Innovation Variance Autoregressive Coefficient 


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Copyright information

© The Institute of Statistical Mathematics, Tokyo 1978

Authors and Affiliations

  • Genshiro Kitagawa
  • Hirotugu Akaike

There are no affiliations available

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