Identification of multivariate AR-models by threshold accepting

DOI10.1016/0167-9473(94)00041-GMaRDI QIDQ672526zbMATH OpenOpenAlexWikidataFDO

Authors Peter Winker

Publication date 28 February 1997

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

Full work available at URL https://doi.org/10.1016/0167-9473(94)00041-g

zbMATH Keywords

OptimizationHeuristicsIdentificationAR-modelThreshold Accepting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 41891 (Why is no real title available?)
• scientific article; zbMATH DE number 51202 (Why is no real title available?)
• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 907943 (Why is no real title available?)
• Autoregressive model fitting for control
• Causality in temporal systems. Characterizations and a Survey
• Estimating the dimension of a model
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Fitting autoregressive models for prediction
• On the convergence of ``threshold accepting
• Optimization by simulated annealing
• Selection of the order of an autoregressive model by Akaike's information criterion
• Subset Autoregression
• Tests of Granger causality by the selection of the orders of a bivariate autoregressive model
• Threshold accepting: A general purpose optimization algorithm appearing superior to simulated annealing

Cited in

(11)

• Editorial: 2nd special issue on applications of optimization heuristics to estimation and modelling problems
• Selecting sub-set autoregressions from outlier contaminated data.
• A genetic algorithm approach to find the best regression/econometric model among the candidates
• An efficient branch-and-bound strategy for subset vector autoregressive model selection
• Optimized multivariate lag structure selection
• Lasso–type and Heuristic Strategies in Model Selection and Forecasting
• Variable selection in regression models using nonstandard optimisation of information criteria
• scientific article; zbMATH DE number 5174068 (Why is no real title available?)
• Applications of optimization heuristics to estimation and modelling problems
• Annealing evolutionary stochastic approximation Monte Carlo for global optimization
• Annealing evolutionary stochastic approximation Monte Carlo for global optimization

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