A procedure for the modeling of non-stationary time series |
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| Authors: | Genshiro Kitagawa Hirotugu Akaike |
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| Abstract: | 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.
The Institute of Statistical Mathematics |
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