Time‐varying multi‐regime models fitting by genetic algorithms
AbstractMany time series exhibit both nonlinearity and nonstationarity. Though both features have often been taken into account separately, few attempts have been proposed to model them simultaneously. We consider threshold models, and present a general model allowing for different regimes both in time and in levels, where regime transitions may happen according to self-exciting, or smoothly varying, or piecewise linear threshold modeling. Since fitting such a model involves the choice of a large number of structural parameters, we propose a procedure based on genetic algorithms, evaluating models by means of a generalized identification criterion. The performance of the proposed procedure is illustrated with a simulation study and applications to some real data.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Time Series Analysis.
Volume (Year): 32 (2011)
Issue (Month): 3 (05)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782
Other versions of this item:
- Francesco Battaglia & Mattheos Protopapas, 2009. "Time-varying Multi-regime Models Fitting by Genetic Algorithms," Working Papers 009, COMISEF.
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