Structural Break Estimation for piecewise FARIMA Models

We consider the problem of estimating the structural changes in a long memory piecewise FARIMA processes. The number of break points as well as their locations, the orders and the parameters of each sub-segments are assumed to be unknown. A 4-step procedure based on maximum likelihood estimate and distance criteria is proposed to find out the break points and to estimate the parameters of each segment. Its effectiveness is shown by Monte Carlo simulations even when the length of piecewise stationary sub-segment is above 800.

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