Using genetic algorithms to parameters \((d,r)\) estimation for threshold autoregressive models (Q5958583)
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scientific article; zbMATH DE number 1715595
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English | Using genetic algorithms to parameters \((d,r)\) estimation for threshold autoregressive models |
scientific article; zbMATH DE number 1715595 |
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Using genetic algorithms to parameters \((d,r)\) estimation for threshold autoregressive models (English)
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3 March 2002
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The threshold autoregressive model (TAR model) has certain characteristics due to which linear models fail to fit a nonlinear time series, while the problem of how to find an appropriate threshold value still attracts many researchers' attention. We apply genetic algorithms to estimate the threshold and lag parameters \(r\) and \(d\) for TAR models. The selection operator is formulated following Darwin's principle of survival of the fittest to guide the trek through a search space. The crossover and mutation operators have been inspired by the mechanisms of gene mutation and chromosome recombination.
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Genetic algorithms
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Threshold autoregressive models
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Fitness function
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Exchange rate
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