A SELECTION CRITERION FOR PIECEWISE STATIONARY LONG-MEMORY MODELS

被引：0

作者：

Song, Li ^{[1
]}

Bondon, Pascal ^{[1
]}

机构：

[1] Univ Paris 11, CNRS UMR 8506, F-91192 Gif Sur Yvette, France

来源：

2012 IEEE STATISTICAL SIGNAL PROCESSING WORKSHOP (SSP) | 2012年

关键词：

Minimum description length principle; non-stationarity; long-memory; MINIMUM DESCRIPTION LENGTH; TIME-SERIES MODELS;

D O I：

暂无

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

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.

引用

页码：908 / 911

页数：4

共 13 条

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