Fitting of self-exciting threshold autoregressive moving average nonlinear time-series model through genetic algorithm and development of out-of-sample forecasts
DOI10.1080/02331888.2013.822502zbMath1320.37035OpenAlexW1980853423MaRDI QIDQ2934851
Himadri Ghosh, Prajneshu, Sandipan Samanta
Publication date: 22 December 2014
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331888.2013.822502
real-coded genetic algorithmmean square forecasting errormackerel catch dataoptimal out-of-sample forecastSETARMA nonlinear time series model
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)
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- Nonlinearity tests for time series
- Introduction to Genetic Algorithms
- Self Exciting Threshold Autoregressive Models for Describing Cyclical Data
- Using genetic algorithms to parameters \((d,r)\) estimation for threshold autoregressive models
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