Skip to Main content Skip to Navigation
Conference papers

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

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.
Complete list of metadatas

https://hal-supelec.archives-ouvertes.fr/hal-00663084
Contributor : Pascal Bondon <>
Submitted on : Thursday, January 26, 2012 - 9:31:17 AM
Last modification on : Wednesday, September 16, 2020 - 4:43:08 PM

Identifiers

  • HAL Id : hal-00663084, version 1

Collections

Citation

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⟩

Share

Metrics

Record views

322