A procedure for modeling non-stationary signals with long range dependence
Résumé
The problem of modeling non-stationary signals with long range dependence is considered in this paper by using piecewise fractional autoregressive integrated moving average processes. In this piecewise model the number and the locations of structural change points as well as the parameters of each stationary regime are assumed to be unknown. We propose a procedure to find out all the parameters of the model. Its effectiveness is shown by Monte Carlo simulations and our method is applied to model Internet traffic data.