Generalized Information Criteria in Model Selection for Locally Stationary Processes

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  • Hirukawa Junichi
    Department of Mathematics, Faculty of Science, Niigata University
  • Kato Hiroko Solvang
    Department of Genetics, Institute for Cancer Research, Radiumhospitalet, University of Oslo
  • Tamaki Kenichiro
    School of Political Science and Economics, Waseda University
  • Taniguchi Masanobu
    Department of Applied Mathematics, School of Fundamental Science and Engineering, Waseda University

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The problem of fitting a parametric model of time series with time varying parameters attracts our attention. We evaluate a goodness of time varying spectral models from an information theoretic point of view. We propose model selection criteria for locally stationary processes based on nonlinear functionals of a time varying spectral density without assuming that the true time varying spectral density belongs to the model. Also, we obtain a sufficient condition such that our information criteria coincide with Akaike's information criterion.

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