A selection criterion for piecewise stationary long-memory models - CentraleSupélec
Communication Dans Un Congrès Année : 2012

A selection criterion for piecewise stationary long-memory models

Résumé

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.
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Dates et versions

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

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Citer

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⟩
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