A selection criterion for piecewise stationary long-memory models - CentraleSupélec Access content directly
Conference Papers Year : 2012

A selection criterion for piecewise stationary long-memory models

Abstract

This article considers the problem of estimating multiple structural breaks in a long-memory FARIMA signal. The number of break points as well as their locations, the orders and the parameters of each regime are assumed to be unknown. A selection criterion based on the minimum description length (MDL) principle is proposed and is compared favorably with two existing criteria by means of Monte Carlo simulations.
No file

Dates and versions

hal-00819795 , version 1 (02-05-2013)

Identifiers

Cite

Li Song, Pascal Bondon. A selection criterion for piecewise stationary long-memory models. IEEE SSP 2012, Aug 2012, Ann Arbor, United States. pp.908-911, ⟨10.1109/SSP.2012.6319856⟩. ⟨hal-00819795⟩
44 View
0 Download

Altmetric

Share

Gmail Facebook X LinkedIn More