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

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. 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)