Optimal aggregation of linear time series models

DOI10.1016/j.csda.2004.05.015zbMath1429.62656OpenAlexW1974931623MaRDI QIDQ957206

Peter Winker, John S. Chipman

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2004.05.015

zbMATH Keywords

aggregationthreshold acceptingindustrial classification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Second special issue on computational econometrics

Cites Work

• Optimization by Simulated Annealing
• Threshold accepting: A general purpose optimization algorithm appearing superior to simulated annealing
• A global optimization heuristic for estimating agent based models
• Applications of optimization heuristics to estimation and modelling problems
• On the convergence of ``threshold accepting
• Lower bounds for centered and wrap-around \(L_2\)-discrepancies and construction of uniform designs by threshold accepting.
• Centered $L_2$-discrepancy of random sampling and Latin hypercube design, and construction of uniform designs
• Application of Threshold-Accepting to the Evaluation of the Discrepancy of a Set of Points
• Uniform Design: Theory and Application
• Error Detecting and Error Correcting Codes
• Optimized multivariate lag structure selection
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