Modeling non-stationary long-memory signals with large amounts of data

Li Song 1 Pascal Bondon 1
1 Division Signaux - L2S
L2S - Laboratoire des signaux et systèmes : 1289
Abstract : We consider the problem of modeling long-memory signals using piecewise fractional autoregressive integrated moving average processes. The signals considered here can be segmented into stationary regimes separated by occasional structural break points. The number as well as the locations of the break points and the parameters of each regime are assumed to be unknown. An efficient estimation method which can manage large amounts of data is proposed. This method uses information criteria to select the number of structural breaks. Its effectiveness is illustrated by Monte Carlo simulations.
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Submitted on : Thursday, January 26, 2012 - 9:41:01 AM
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  • HAL Id : hal-00663090, version 1



Li Song, Pascal Bondon. Modeling non-stationary long-memory signals with large amounts of data. EUSIPCO 2011, Aug 2011, Barcelone, Spain. pp.2234-2238. ⟨hal-00663090⟩



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