Title :
A selection criterion for piecewise stationary long-memory models
Author :
Song, Li ; Bondon, Pascal
Author_Institution :
Univ. Paris-Sud, Gif-sur-Yvette, France
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.
Keywords :
Monte Carlo methods; autoregressive moving average processes; signal processing; Monte Carlo simulations; break points; fractional autoregressive integrated moving average processes; long memory FARIMA signal; minimum description length principle; piecewise stationary long memory models; selection criterion; structural breaks; Biological system modeling; Data models; Estimation; Fitting; Monte Carlo methods; Time series analysis; Vectors; Minimum description length principle; long-memory; non-stationarity;
Conference_Titel :
Statistical Signal Processing Workshop (SSP), 2012 IEEE
Conference_Location :
Ann Arbor, MI
Print_ISBN :
978-1-4673-0182-4
Electronic_ISBN :
pending
DOI :
10.1109/SSP.2012.6319856
