How to Recombine Time Series Using a Leag Square Approximation

In times thereis are sequentially connected. We can do like blocks lake, moving window, but make each window as anconsecutive series and connecting orseries together. Within each window, we can inpendently model tos seres. In the end, we can model the global activity between windows. Is like you have a very long time this, but you have some realistic assumption that at a certain level a, or at inside a certain window, there is a possibility to fit traditional or conventional timesis modol. Then we have technique to make all o those traditional modols work, like time varying fashing. And in the end, you just do a leag square