Piecewise linear time series estimation with GRASP

DOI10.1023/A:1011238718363zbMath1168.90590OpenAlexW1509658417MaRDI QIDQ5938471

Marcelo C. Medeiros, Alvaro Veiga, Mauricio G. C. Resende

Publication date: 22 July 2001

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1011238718363

zbMATH Keywords

combinatorial optimizationGRASPsearch heuristic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Combinatorial optimization (90C27)

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Identification of piecewise affine systems via mixed-integer programming. ⋮ An efficient optimization approach for best subset selection in linear regression, with application to model selection and fitting in autoregressive time-series

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