A procedure for modeling non-stationary signals with long range dependence

Li Song 1 Pascal Bondon 1
1 Division Signaux - L2S
L2S - Laboratoire des signaux et systèmes : 1289
Abstract : 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.
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Contributor : Pascal Bondon <>
Submitted on : Thursday, January 26, 2012 - 9:31:17 AM
Last modification on : Tuesday, October 2, 2018 - 3:14:03 PM

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Li Song, Pascal Bondon. A procedure for modeling non-stationary signals with long range dependence. IFAC 2011, Aug 2011, Milan, Italy. pp.4440-4445. ⟨hal-00663084⟩

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