Variable selection in STAR models with neighbourhood effects using genetic algorithms

DOI10.1002/FOR.1164MaRDI QIDQ3065556zbMATH OpenOpenAlexFDO

Authors Asunción Beamonte, Pilar Gargallo, Pedro M. Mateo, Manuel Salvador, Isolina Alberto

Publication date 6 January 2011

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.1164

zbMATH Keywords

genetic algorithmsneighbourhood effectsSTARvariable selection

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Multi-objective and goal programming (90C29) Approximation methods and heuristics in mathematical programming (90C59)

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Cites work

• An Asymtotic Theory of Bayesian Inference for Time Series
• Bayes Factors
• Bayesian reduced rank regression in econometrics
• Econometric Model Determination
• Estimating the dimension of a model
• Evolutionary Algorithms for Solving Multi-Objective Problems
• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• scientific article; zbMATH DE number 194544 (Why is no real title available?)
• Model choice: a minimum posterior predictive loss approach
• Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
• Variable selection in regression models using nonstandard optimisation of information criteria

Cited in

(1)

• Robust Bayesian inference in STAR models with neighbourhood effects

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