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Applications of optimization heuristics to estimation and modelling problems

Citations

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Cited by:

  1. S.-C. Horng & S.-Y. Lin, 2009. "Ordinal Optimization of G/G/1/K Polling Systems with k-Limited Service Discipline," Journal of Optimization Theory and Applications, Springer, vol. 140(2), pages 213-231, February.
  2. Ivan Savin & Peter Winker, 2012. "Heuristic Optimization Methods for Dynamic Panel Data Model Selection: Application on the Russian Innovative Performance," Computational Economics, Springer;Society for Computational Economics, vol. 39(4), pages 337-363, April.
  3. Blueschke-Nikolaeva, V. & Blueschke, D. & Neck, R., 2012. "Optimal control of nonlinear dynamic econometric models: An algorithm and an application," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3230-3240.
  4. Savin, Ivan & Egbetokun, Abiodun, 2016. "Emergence of innovation networks from R&D cooperation with endogenous absorptive capacity," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 82-103.
  5. Manfred Gilli & Enrico Schumann, 2012. "Heuristic optimisation in financial modelling," Annals of Operations Research, Springer, vol. 193(1), pages 129-158, March.
  6. Lin, D.K.J. & Sharpe, C. & Winker, P., 2010. "Optimized U-type designs on flexible regions," Computational Statistics & Data Analysis, Elsevier, vol. 54(6), pages 1505-1515, June.
  7. Lyra, M. & Paha, J. & Paterlini, S. & Winker, P., 2010. "Optimization heuristics for determining internal rating grading scales," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2693-2706, November.
  8. Yang, Zheng & Tian, Zheng & Yuan, Zixia, 2007. "GSA-based maximum likelihood estimation for threshold vector error correction model," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 109-120, September.
  9. Kapetanios, George, 2007. "Variable selection in regression models using nonstandard optimisation of information criteria," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 4-15, September.
  10. Makram El-Shagi, 2011. "An evolutionary algorithm for the estimation of threshold vector error correction models," International Economics and Economic Policy, Springer, vol. 8(4), pages 341-362, December.
  11. Chen, Ray-Bing & Hsu, Yen-Wen & Hung, Ying & Wang, Weichung, 2014. "Discrete particle swarm optimization for constructing uniform design on irregular regions," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 282-297.
  12. Giordano, Francesco & La Rocca, Michele & Perna, Cira, 2007. "Forecasting nonlinear time series with neural network sieve bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 3871-3884, May.
  13. Winker, Peter, 2005. "The Stochastics of Threshold Accepting: Analysis of an Application to the Uniform Design Problem," Discussion Papers 2005,003E, University of Erfurt, Faculty of Economics, Law and Social Sciences.
  14. Fitzenberger, Bernd & Winker, Peter, 2007. "Improving the computation of censored quantile regressions," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 88-108, September.
  15. S. Bandyopadhyay & R. Baragona & U. Maulik, 2010. "Fuzzy clustering of univariate and multivariate time series by genetic multiobjective optimization," Working Papers 028, COMISEF.
  16. Chipman, J. & Winker, P., 2005. "Optimal aggregation of linear time series models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 311-331, April.
  17. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
  18. Tscheschel, A. & Stoyan, D., 2006. "Statistical reconstruction of random point patterns," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 859-871, November.
  19. Peter Winker & Marianna Lyra & Chris Sharpe, 2011. "Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model," Computational Management Science, Springer, vol. 8(1), pages 103-123, April.
  20. Giorgio Fagiolo & Mattia Guerini & Francesco Lamperti & Alessio Moneta & Andrea Roventini, 2017. "Validation of Agent-Based Models in Economics and Finance," LEM Papers Series 2017/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  21. Domenico Cucina & Mattheos Protopapas & Antonietta di Salvatore, 2008. "Meta-heuristic Methods for Outliers Detection in Multivariate Time Series," Working Papers 003, COMISEF.
  22. Unler, Alper & Murat, Alper, 2010. "A discrete particle swarm optimization method for feature selection in binary classification problems," European Journal of Operational Research, Elsevier, vol. 206(3), pages 528-539, November.
  23. Florios, Kostas, 2018. "A hyperplanes intersection simulated annealing algorithm for maximum score estimation," Econometrics and Statistics, Elsevier, vol. 8(C), pages 37-55.
  24. 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.
  25. Manuel Rizzo & Francesco Battaglia, 2016. "On the Choice of a Genetic Algorithm for Estimating GARCH Models," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 473-485, October.
  26. V. Robles & C. Bielza & P. Larrañaga & S. González & L. Ohno-Machado, 2008. "Optimizing logistic regression coefficients for discrimination and calibration using estimation of distribution algorithms," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 16(2), pages 345-366, December.
  27. Gilli, Manfred & Winker, Peter, 2007. "2nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 2-3, September.
  28. Manfred Gilli & Enrico Schumann, 2010. "Calibrating Option Pricing Models with Heuristics," Working Papers 030, COMISEF.
  29. Baur, Dirk G. & Glover, Kristoffer J., 2014. "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 116-133.
  30. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
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