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ECOLE SUPÉRIEURE D'ÉLECTRICITÉ Une grande école d'ingénieurs au cœur des sciences de l'information,de l'énergie et des systèmes |
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Journal articles
Structural changes estimation for strongly-dependent processes
Abstract : In this paper, we consider the problem of estimating multiple structural breaks in a long-memory FARIMA time series. 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 a genetic algorithm is implemented for its optimization. Monte Carlo simulation results show the effectiveness of this criterion and an application to the Nile River data is considered.
https://hal-supelec.archives-ouvertes.fr/hal-00926709
Contributor : Pascal Bondon Connect in order to contact the contributor
Submitted on : Friday, January 10, 2014 - 10:11:43 AM
Last modification on : Thursday, June 17, 2021 - 3:46:35 AM
Contributor : Pascal Bondon Connect in order to contact the contributor
Submitted on : Friday, January 10, 2014 - 10:11:43 AM
Last modification on : Thursday, June 17, 2021 - 3:46:35 AM