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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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    File URL: ftp://metron.sta.uniroma1.it/RePEc/articoli/2004-1-39-61.pdf
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    Bibliographic Info

    Article provided by Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome in its journal Metron.

    Volume (Year): LXII (2004)
    Issue (Month): 1 ()
    Pages: 39-61

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    Handle: RePEc:mtn:ancoec:040103

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    1. 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.
    2. 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.
    3. 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.
    4. 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.
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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. Roberto Baragona & Domenico Cucina, 2013. "Multivariate Self-Exciting Threshold Autoregressive Modeling by Genetic Algorithms," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 233(1), pages 3-21, January.

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