A procedure for the modeling of non-stationary time series

DOI10.1007/BF02480225zbMath0441.62080MaRDI QIDQ1143109

Genshiro Kitagawa, Hirotugu Akaike

Publication date: 1978

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

Householder transformationfitting of locally stationary autoregressive modelminimum AIC procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

• Numerical methods for solving linear least squares problems
• Power spectrum estimation through autoregressive model fitting
• Statistical predictor identification
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