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Nonstationary Yule-Walker equations

Marc Hallin () and Jean-François Ingenbleek

Statistics & Probability Letters, 1983, vol. 1, issue 4, 189-195

Abstract: A nonstationary generalization of the classical Yule-Walker equations, relating the (time-varying) autocorrelations of an autoregressive process to the coefficients of the possible models for this process, is given. The corresponding theoretical model-building (or spectral factorization) problem, i.e., that of expressing the above mentioned models in terms of the autocorrelations, is solved. This paper, as well as several others, is part of a work whose purpose is a systematic study of time-varying ARMA models.

Keywords: Time; series; stochastic; difference; equations; nonstationary; autoregressive; processes; time-varying; autoregressive; models (search for similar items in EconPapers)
Date: 1983
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