Using genetic algorithms to parameters \((d,r)\) estimation for threshold autoregressive models

DOI10.1016/S0167-9473(01)00030-5zbMath1028.62072OpenAlexW2143430781MaRDI QIDQ5958583

Chih-Li Chang, Berlin Wu

Publication date: 3 March 2002

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

Full work available at URL: https://doi.org/10.1016/s0167-9473(01)00030-5

zbMATH Keywords

Genetic algorithmsExchange rateFitness functionThreshold autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Applications of mathematical programming (90C90)

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• Threshold models in non-linear time series analysis
• Model-free forecasting for nonlinear time series (with application to exchange rates)
• Use of fuzzy statistical technique in change periods detection of nonlinear time series
• Testing and Modeling Threshold Autoregressive Processes
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS

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