GSA-based maximum likelihood estimation for threshold vector error correction model

DOI10.1016/j.csda.2007.06.003zbMath1452.62142OpenAlexW2147479297MaRDI QIDQ1020791

Zheng Tian, Zixia Yuan, Zheng Yang

Publication date: 2 June 2009

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

Full work available at URL: https://doi.org/10.1016/j.csda.2007.06.003

zbMATH Keywords

maximum likelihood estimationthresholdvector error correction modelgenetic-simulated annealing

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Learning and adaptive systems in artificial intelligence (68T05) Approximation methods and heuristics in mathematical programming (90C59)

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Cites Work

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• Statistical analysis of cointegration vectors
• Testing for two-regime threshold cointegration in vector error-correction models.
• An automated hybrid genetic-conjugate gradient algorithm for multimodal optimization problems
• Threshold Cointegration
• Equation of State Calculations by Fast Computing Machines

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