Characterization of the Partial Autocorrelation Function of Nonstationary

The second order properties of a process are usually characterized by the autocovariance function. In the stationary case, the parameterization by the partial autocorrelation function is relatively recent. We extend this parameterization to the nonstationary case. The advantage of this function is that it is subject to very simple constraints in comparison with the autocovariance function which must be nonnegative definite. As in the stationary case, this parameterization is well adapted to autoregressive models or to the identification of deterministic processes. keywords and phrases : nonstationary processes; discrete time; second order properties; partial autocorrelation. AMS 1991 Subject Classification : 60G12; 62M10.