Journal of Time Series Analysis

On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series

Journal Article

We discuss the behaviour of parameter estimates when stationary time series models are fitted locally to non‐stationary processes which have an evolutionary spectral representation. A particular example is the estimation for an autoregressive process with time‐varying coefficients by local Yule–Walker estimates. The bias and the mean squared error for the parameter estimates are calculated and the optimal length of the data segment is determined.

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