Estimating threshold subset autoregressive moving-average models by genetic algorithms
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- C. S. Wong & W. K. Li, 1998. "A note on the corrected Akaike information criterion for threshold autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(1), pages 113-124, January.
- Wu, Berlin & Chang, Chih-Li, 2002. "Using genetic algorithms to parameters (d,r) estimation for threshold autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 38(3), pages 315-330, January.
- Chatterjee, Sangit & Laudato, Matthew & Lynch, Lucy A., 1996. "Genetic algorithms and their statistical applications: an introduction," Computational Statistics & Data Analysis, Elsevier, vol. 22(6), pages 633-651, October.
- B. Y. Thanoon, 1990. "Subset Threshold Autoregression With Applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(1), pages 75-87, January.
- Cathy W. S. Chen & Mike K. P. So, 2003. "Subset threshold autoregression," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 49-66.
- Michael J. Wichura, 1988. "The Percentage Points of the Normal Distribution," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 37(3), pages 477-484, November.
- Baragona, Roberto & Battaglia, Francesco & Calzini, Claudio, 2001. "Genetic algorithms for the identification of additive and innovation outliers in time series," Computational Statistics & Data Analysis, Elsevier, vol. 37(1), pages 1-12, July.
- Cathy W. S. Chen & Tsai-Hung Cherng & Berlin Wu, 2001. "On the Selection of Subset Bilinear Time Series Models: a Genetic Algorithm Approach," Computational Statistics, Springer, vol. 16(4), pages 505-517, December.
- Roberto Baragona & Francesco Battaglia & Claudio Calzini, 2001. "Clustering of time series with genetic algorithms," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 111-128.
- Gwo‐Hsing Yu & Yow‐Chang Lin, 1991. "A Methodology For Selecting Subset Autoregressive Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 12(4), pages 363-373, July.
- V. Haggan & O. B. Oyetunji, 1984. "On The Selection Of Subset Autoregressive Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 5(2), pages 103-113, March.
- Carlo Gaetan, 2000. "Subset ARMA Model Identification Using Genetic Algorithms," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(5), pages 559-570, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Cathy Chen & Feng Liu & Richard Gerlach, 2011. "Bayesian subset selection for threshold autoregressive moving-average models," Computational Statistics, Springer, vol. 26(1), pages 1-30, March.
- Baragona Roberto & Cucina Domenico, 2013. "Multivariate Self-Exciting Threshold Autoregressive Modeling by Genetic Algorithms," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 233(1), pages 3-21, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Francesco Battaglia & Mattheos K. Protopapas, 2010. "Multi-regime models for nonlinear nonstationary time series," Working Papers 026, COMISEF.
- Francesco Battaglia & Mattheos K. Protopapas, 2011.
"Time‐varying multi‐regime models fitting by genetic algorithms,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 237-252, May.
- Francesco Battaglia & Mattheos Protopapas, 2009. "Time-varying Multi-regime Models Fitting by Genetic Algorithms," Working Papers 009, COMISEF.
- Francesco Battaglia & Mattheos Protopapas, 2012. "An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(3), pages 315-334, August.
- Winker, Peter & Gilli, Manfred, 2004. "Applications of optimization heuristics to estimation and modelling problems," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 211-223, September.
- Francesco Battaglia & Mattheos Protopapas, 2012. "Multi–regime models for nonlinear nonstationary time series," Computational Statistics, Springer, vol. 27(2), pages 319-341, June.
- H. Glendinning, Richard, 2001. "Selecting sub-set autoregressions from outlier contaminated data," Computational Statistics & Data Analysis, Elsevier, vol. 36(2), pages 179-207, April.
- Gilles Dufrenot & Dominique Guegan & Anne Peguin-Feissolle, 2008.
"Changing-regime volatility: a fractionally integrated SETAR model,"
Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 519-526.
- Anne Peguin-Feissolle & Gilles Dufrénot & Dominique Guegan, 2006. "Changing-regime volatility : A fractionally integrated SETAR model," Working Papers halshs-00410540, HAL.
- Gilles Dufrenot & Dominique Guegan & Anne Peguin-Feissolle, 2008. "Changing-regime volatility: A fractionally integrated SETAR model," Post-Print halshs-00185369, HAL.
- Gilles Dufrenot & Dominique Guegan & Anne Peguin-Feissolle, 2008. "Changing-regime volatility: A fractionally integrated SETAR model," PSE-Ecole d'économie de Paris (Postprint) halshs-00185369, HAL.
- Gilles Dufrenot & Dominique Guegan & Anne Peguin-Feissolle, 2008. "Changing-regime volatility: A fractionally integrated SETAR model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185369, HAL.
- Dufrenot, Gilles & Guegan, Dominique & Peguin-Feissolle, Anne, 2005.
"Long-memory dynamics in a SETAR model - applications to stock markets,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 391-406, December.
- Gilles Dufrénot & Dominique Guegan & Anne Peguin-Feissolle, 2005. "Long-memory dynamics in a SETAR model - Applications to stock markets," Post-Print halshs-00179339, HAL.
- Gray, J. Brian & Fan, Guangzhe, 2008. "Classification tree analysis using TARGET," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1362-1372, January.
- Richard A. Davis & Thomas C. M. Lee & Gabriel A. Rodriguez‐Yam, 2008. "Break Detection for a Class of Nonlinear Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 834-867, September.
- Baragona, R. & Battaglia, F. & Cucina, D., 2004. "Fitting piecewise linear threshold autoregressive models by means of genetic algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 277-295, September.
- Pitarakis Jean-Yves, 2006.
"Model Selection Uncertainty and Detection of Threshold Effects,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(1), pages 1-30, March.
- Jean-Yves Pitarakis, 2004. "Model Selection Uncertainty and Detection of Threshold Effecs," Econometrics 0409013, University Library of Munich, Germany.
- Florian Huber, 2014. "Forecasting Exchange Rates using Bayesian Threshold Vector Autoregressions," Economics Bulletin, AccessEcon, vol. 34(3), pages 1687-1695.
- William T. Shaw & Thomas Luu & Nick Brickman, 2009. "Quantile Mechanics II: Changes of Variables in Monte Carlo methods and GPU-Optimized Normal Quantiles," Papers 0901.0638, arXiv.org, revised Dec 2011.
- Benedek, Gábor & Kóbor, Ádám & Pataki, Attila, 2002. "A kapcsolatszorosság mérése m-dimenziós kopulákkal és értékpapírportfólió-alkalmazások [Measuring dependence with m-dimensional copulas and applications of this]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 105-125.
- Abdulrashid Muhammad Kabir & Mohsin Kamal & Fiaz Ahmad & Zahid Ullah & Fahad R. Albogamy & Ghulam Hafeez & Faizan Mehmood, 2021. "Optimized Economic Load Dispatch with Multiple Fuels and Valve-Point Effects Using Hybrid Genetic–Artificial Fish Swarm Algorithm," Sustainability, MDPI, vol. 13(19), pages 1-27, September.
- PEREAU Jean-Christophe & URSU Eugen, 2015. "Application of periodic autoregressive process to the modeling of the Garonne river flows," Cahiers du GREThA (2007-2019) 2015-14, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
- Claudio Pizzi & Francesca Parpinel, 2011. "Evolutionary computational approach in TAR model estimation," Working Papers 2011_26, Department of Economics, University of Venice "Ca' Foscari".
- Chun-Xia Zhang & Jiang-She Zhang & Sang-Woon Kim, 2016. "PBoostGA: pseudo-boosting genetic algorithm for variable ranking and selection," Computational Statistics, Springer, vol. 31(4), pages 1237-1262, December.
- Rinke Saskia & Sibbertsen Philipp, 2016.
"Information criteria for nonlinear time series models,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(3), pages 325-341, June.
- Rinke, Saskia & Sibbertsen, Philipp, 2015. "Information Criteria for Nonlinear Time Series Models," Hannover Economic Papers (HEP) dp-548, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mtn:ancoec:040103. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marco Alfo' (email available below). General contact details of provider: .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.