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A selection criterion for piecewise stationary long-memory models

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.
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https://hal-supelec.archives-ouvertes.fr/hal-00819795
Contributor : Pascal Bondon <>
Submitted on : Thursday, May 2, 2013 - 1:37:17 PM
Last modification on : Wednesday, September 16, 2020 - 4:42:25 PM

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Li Song, Pascal Bondon. A selection criterion for piecewise stationary long-memory models. IEEE SSP 2012, Aug 2012, Ann Arbor, United States. pp.908-911, ⟨10.1109/SSP.2012.6319856⟩. ⟨hal-00819795⟩

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