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Genetic Algorithms to Estimate Parameters of Fractional Arima Process

Author

Listed:
  • Boyan Lomev

    (Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski)

  • Maria Gergova

    (Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski)

Abstract

The article examines the possibility to estimate parameters of Fractional Arima Process using genetic algorithms. In particular, an assessment of the indicator of fractional differentiation d by the method of Whittle using genetic algorithms has been made. In order to have comparable data as the basis for comparison is used the established classical method for evaluation of Whittle FARIMA coefficients.

Suggested Citation

  • Boyan Lomev & Maria Gergova, 2012. "Genetic Algorithms to Estimate Parameters of Fractional Arima Process," Yearbook of the Faculty of Economics and Business Administration, Sofia University, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria, vol. 10(1), pages 105-122, March.
    • Handle: RePEc:sko:yrbook:v:10:y:2012:i:1:p:105-122
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