Least squares detection of multiple changes in fractional ARIMA processes

Author

Coulon, Martial ; Swami, Ananthram

Author_Institution

INP-ENSEEIHT, TESA, Toulouse, France

Volume

5

fYear

2001

fDate

2001

Firstpage

3177

Abstract

We address the problem of estimating changes in fractional integrated ARMA (FARIMA) processes. These changes may be in the long range dependence (LRD) parameter or the ARMA parameters. The signal is divided into "elementary" segments: the objective is then to estimate the segments in which the changes occur. This estimation is achieved by minimizing a penalized least-squares criterion based on the parameter estimates computed in each segment. The optimization problem is then solved using a dynamic programming algorithm. Simulation results on synthetic data (computer network traffic) are reported

Keywords

autoregressive moving average processes; computer networks; dynamic programming; least mean squares methods; parameter estimation; signal processing; telecommunication traffic; FARIMA processes; LRD parameter; dynamic programming algorithm; elementary segments; fractional integrated ARMA; least squares detection; long range dependence parameter; multiple changes; optimization problem; parameter estimates; penalized least-squares criterion minimization; synthetic data; Computational modeling; Filters; Internet; Least squares methods; Monitoring; Parameter estimation; Robustness; Technological innovation; Telecommunication traffic; Traffic control;

fLanguage

English

Publisher

ieee

Conference_Titel

Acoustics, Speech, and Signal Processing, 2001. Proceedings. (ICASSP '01). 2001 IEEE International Conference on

Conference_Location

Salt Lake City, UT

ISSN

1520-6149

Print_ISBN

0-7803-7041-4

Type

conf

DOI

10.1109/ICASSP.2001.940333

Filename

940333