The time-varying autoregressive (TVAR) modeling of a non-stationary signal is studied. In the proposed method, time-varying parametric identification of a non-stationary signal can be translated into a linear time-invariant problem by introducing a set of basic functions. Then, the parameters are estimated by using a recursive least square algorithm with a forgetting factor and an adaptive time-frequency distribution is achieved. The simulation results show that the proposed approach is superior to the short-time Fourier transform and Wigner distribution. And finally, the proposed method is applied to the fault diagnosis of a bearing, and the experiment result shows that the proposed method is effective in feature extraction. The time-varying autoregressive (TVAR) modeling of a non-stationary signal is studied. In the proposed method, time-varying parametric identification of a non-stationary signal can be translated into a linear time-invariant problem by introducing a set of basic functions. Then, the parameters are estimated by using a recursive least square algorithm with a forgetting factor and an adaptive time-frequency distribution is achieved. The simulation results show that the proposed approach is superior to the short-time Fourier transform and Wigner distribution. And finally, the proposed method is applied to the fault diagnosis of a bearing, and the experiment result shows that the proposed method is effective in feature extraction.