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Estimating threshold subset autoregressive moving-average models by genetic algorithms

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  • Roberto Baragona
  • Francesco Battaglia
  • Domenico Cucina

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  • Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2004. "Estimating threshold subset autoregressive moving-average models by genetic algorithms," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 39-61.
    • Handle: RePEc:mtn:ancoec:040103
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    File URL: https://www.dss.uniroma1.it/RePec/mtn/articoli/2004-1-39-61.pdf
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. 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.
    4. Carlo Gaetan, 2000. "Subset ARMA Model Identification Using Genetic Algorithms," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(5), pages 559-570, September.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. B. Y. Thanoon, 1990. "Subset Threshold Autoregression With Applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(1), pages 75-87, January.
    10. 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.
    11. 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.
    12. 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.
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    Cited by:

    1. 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.
    2. 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.

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