Advertisement

A procedure for the modeling of non-stationary time series

  • Genshiro Kitagawa
  • Hirotugu Akaike
Article

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.

Keywords

Autoregressive Model Triangular Matrix Theoretical Spectrum Innovation Variance Autoregressive Coefficient 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. [1]
    Akaike, H. (1969). Power spectrum estimation through autoregressive model fitting,Ann. Inst. Statist. Math.,21, 407–419.MathSciNetCrossRefGoogle Scholar
  2. [2]
    Akaike, H. (1970). Statistical predictor identification,Ann. Inst. Statist. Math.,22, 203–223.MathSciNetCrossRefGoogle Scholar
  3. [3]
    Akaike, H. (1976). Canonical correlation analysis of time series and the use of an information criterion, inSystem Identification: Advance and Case Studies, R. K. Mehra and D. G. Lainiotis, eds., Academic Press, New York.Google Scholar
  4. [4]
    Akaike, H. (1976). On entropy maximization principle,Symposium on Applications of Statistics, Dayton, Ohio.Google Scholar
  5. [5]
    Golub, G. H. (1965). Numerical methods for solving linear least squares problems,Numer. Math.,7, 206–216.MathSciNetCrossRefGoogle Scholar
  6. [6]
    Kitagawa, T. (1963). Estimation after preliminary tests of significance,Univ. Calif. Pub. Statist.,3, 147–186.zbMATHGoogle Scholar
  7. [7]
    Kitagawa, T. (1950). Successive process of statistical inferences,Mem. Fac. Sci. Kyushu University, Series A,15, 139–180.MathSciNetzbMATHGoogle Scholar
  8. [8]
    Ozaki, T. and Tong, H. (1975). On the fitting of non-stationary autoregressive models in time series analysis,Proceeding of the 8th Hawaii International Conference on System Science, Western Periodical Company.Google Scholar

Copyright information

© The Institute of Statistical Mathematics, Tokyo 1978

Authors and Affiliations

  • Genshiro Kitagawa
  • Hirotugu Akaike

There are no affiliations available

Personalised recommendations