Identification of multiregime periodic autotregressive models by genetic algorithms
| dc.rights.license | open | en_US |
| dc.contributor.author | CUCINA, Domenico | |
| dc.contributor.author | RIZZO, Manuel | |
| hal.structure.identifier | Groupe de Recherche en Economie Théorique et Appliquée [GREThA] | |
| dc.contributor.author | URSU, Eugen
IDREF: 228232201 | |
| dc.date.accessioned | 2020-07-03T09:41:11Z | |
| dc.date.available | 2020-07-03T09:41:11Z | |
| dc.date.conference | 2018 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/8545 | |
| dc.description.abstractEn | .This paper develops a procedure for identifying multiregimePeriodic AutoRegressive (PAR) models. In each regime a possibly dif-ferent PAR model is built, for which changes can be due to the seasonalmeans, the autocorrelation structure or the variances. Number and lo-cations of changepoints which subdivide the time span are detected bymeans of Genetic Algorithms (GAs), that optimize an identification cri-terion. The method is evaluated by means of simulation studies, and isthen employed to analyze shrimp fishery data. | |
| dc.language.iso | EN | en_US |
| dc.subject.en | Seasonality | |
| dc.subject.en | Structural changes | |
| dc.subject.en | Genetic algorithm | |
| dc.title.en | Identification of multiregime periodic autotregressive models by genetic algorithms | |
| dc.type | Communication dans un congrès avec actes | en_US |
| dc.subject.hal | Économie et finance quantitative [q-fin] | en_US |
| bordeaux.hal.laboratories | Groupe de Recherche en Economie Théorique et Appliquée (GREThA) - UMR 5113 | en_US |
| bordeaux.institution | Université de Bordeaux | en_US |
| bordeaux.country | es | en_US |
| bordeaux.title.proceeding | International Conference of Time Series and Forecasting | |
| bordeaux.conference.city | Grenade | en_US |
| bordeaux.peerReviewed | oui | en_US |
| hal.identifier | hal-03187870 | |
| hal.version | 1 | |
| hal.date.transferred | 2021-04-01T12:27:48Z | |
| hal.export | true | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.au=CUCINA,%20Domenico&RIZZO,%20Manuel&URSU,%20Eugen&rft.genre=proceeding |
