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@unpublished{Killick:2020,
author = {Killick, R and Knight, MI and Nason, GP and Eckley, IA},
publisher = {arXiv},
title = {The local partial autocorrelation function and some applications},
url = {http://arxiv.org/abs/2004.12716v1},
year = {2020}
}

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TY  - UNPB
AB  - The classical regular and partial autocorrelation functions are powerfultools for stationary time series modelling and analysis. However, it isincreasingly recognized that many time series are not stationary and the use ofclassical global autocorrelations can give misleading answers. This articleintroduces two estimators of the local partial autocorrelation function andestablishes their asymptotic properties. The article then illustrates the useof these new estimators on both simulated and real time series. The examplesclearly demonstrate the strong practical benefits of local estimators for timeseries that exhibit nonstationarities.
AU  - Killick,R
AU  - Knight,MI
AU  - Nason,GP
AU  - Eckley,IA
PB  - arXiv
PY  - 2020///
TI  - The local partial autocorrelation function and some applications
UR  - http://arxiv.org/abs/2004.12716v1
UR  - http://hdl.handle.net/10044/1/82050
ER  -

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