Double threshold autoregressive conditionally heteroscedastic model building by genetic algorithms

DOI10.1080/00949650701327658zbMath1152.65015OpenAlexW1981674889MaRDI QIDQ3518407

Domenico Cucina, Roberto Baragona

Publication date: 7 August 2008

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650701327658

zbMATH Keywords

numerical examplesgenetic algorithmsnonlinear time series modelsautoregressive conditional heteroscedasticitydouble-threshold autoregression

Mathematics Subject Classification ID

Related Items (3)

Genetic algorithms for building double threshold generalized autoregressive conditional heteroscedastic models of time series ⋮ Computational approximation of the likelihood ratio for testing the existence of change-points in a heteroscedastic series ⋮ Evolutionary Computation Methods and their applications in Statistics

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