Fitting of self-exciting threshold autoregressive moving average nonlinear time-series model through genetic algorithm and development of out-of-sample forecasts

DOI10.1080/02331888.2013.822502zbMATH Open1320.37035OpenAlexW1980853423MaRDI QIDQ2934851FDOQ2934851

Authors: Himadri Ghosh, Prajneshu, Sandipan Samanta 

Publication date: 22 December 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2013.822502

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zbMATH Keywords

real-coded genetic algorithmmean square forecasting errormackerel catch dataoptimal out-of-sample forecastSETARMA nonlinear time series model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Inference from stochastic processes and prediction (62M20)

Cites Work

• Generalized likelihood ratio statistics and Wilks phenomenon
• On forecasting SETAR processes
• Testing for threshold autoregression
• Introduction to Genetic Algorithms
• Title not available (Why is that?)
• Title not available (Why is that?)
• Using genetic algorithms to parameters \((d,r)\) estimation for threshold autoregressive models
• A Tukey nonadditivity-type test for time series nonlinearity
• Multi-step forecasts from threshold ARMA models using asymmetric loss functions
• Nonlinearity tests for time series
• Self Exciting Threshold Autoregressive Models for Describing Cyclical Data

Cited In (2)

• Estimating threshold subset autoregressive moving-average models by genetic algorithms
• DNA optimization threshold autoregressive prediction model and its application in ice condition time series

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