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
收藏
页码：908 / 911
页数：4
相关论文
共 50 条
12345