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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.
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Submitted on : Friday, January 10, 2014 - 10:11:43 AM
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Li Song, Pascal Bondon. Structural changes estimation for strongly-dependent processes. Journal of Statistical Computation and Simulation, Taylor & Francis, 2013, 83 (10), pp.1783-1806. ⟨10.1080/00949655.2011.653643⟩. ⟨hal-00926709⟩



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