Evolutionary computation of a deterministic switching regressions estimator

DOI10.1007/BF02892057MaRDI QIDQ1775952zbMATH OpenOpenAlexFDO

Authors Vassilios N. Karavas, L. Joe Moffitt

Publication date 20 May 2005

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02892057

zbMATH Keywords

chromosomal crossoverdeterministic switching regressionevolutionary computation genetic algorithmrobustness

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Linear regression; mixed models (62J05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Approximation methods and heuristics in mathematical programming (90C59)

Review text

This article reports the results of simulation investigations of the performance of an evolutionary method (based on genetic algorithm) for computation of a deterministic switching regression estimator proposed by \textit{S. M. Goldfeld} and \textit{R. E. Quandt} [see S.M. Goldfeld and R.E. Quandt (eds.), Studies in nonlinear estimation. (1976; Zbl 0418.62090)]. Distinctive aspects of the method include (1) a combination of simple and random chromosomal crossover, (2) extension of the principle of natural selection to the parametric set-up of a genetic algorithm. This extension provided a set of internal parameters for the evolutionary approach that was shown to be robust for all experiments it was applied to. Results of experiments also indicate that the evolutionary method duplicates, significantly faster, estimates obtained by an existing enumerative method in samples small enough to permit enumeration. It also provides the ability to calculate the estimator in much larger sample sizes than it is possible with the enumerative approach. A real data example from the USA gasoline market is presented.

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Cites work

• Estimating switching regressions: a computational note
• scientific article; zbMATH DE number 1460479 (Why is no real title available?)
• scientific article; zbMATH DE number 867338 (Why is no real title available?)
• Simulated annealing, weighted simulated annealing and genetic algorithms at work
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes

Cited in

(2)

• Evolutionary computation for econometric modeling
• Statistical and computational tradeoff in genetic algorithm-based estimation

Describes a project that uses

Uses Software

• Genocop

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