A selection criterion for piecewise stationary long-memory models

Li Song (1) , Pascal Bondon (1)

1 L2S - Laboratoire des signaux et systèmes

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.

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⟩