The local partial autocorrelation function and some applications

  title={The local partial autocorrelation function and some applications},
  author={Rebecca Killick and Marina I. Knight and Guy P. Nason and Idris Arthur Eckley},
  journal={Electronic Journal of Statistics},
The classical regular and partial autocorrelation functions are powerful tools for stationary time series modelling and analysis. However, it is increasingly recognized that many time series are not stationary and the use of classical global autocorrelations can give misleading answers. This article introduces two estimators of the local partial autocorrelation function and establishes their asymptotic properties. The article then illustrates the use of these new estimators on both simulated… 

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