Many time series exhibit both nonlinearity and non-stationarity. Though both features have been often taken into account separately, few attempts have been proposed for modelling them simultaneously. We consider threshold models, and present a general model allowing for different regimes both in time and in levels, where regime transitions may happen according to self-exciting, or smoothly varying or piecewise linear threshold modelling. Since fitting such a model involves the choice of a large number of structural parameters, we propose a procedure based on genetic algorithms, evaluating models by means of a generalized identification criterion. The performance of the proposed procedure is illustrated with a simulation study and applications to some real data.

Time-varying multi-regime models fitting by genetic algorithms / Battaglia, Francesco; Mattheos K., Protopapas. - In: JOURNAL OF TIME SERIES ANALYSIS. - ISSN 0143-9782. - STAMPA. - 32:3(2011), pp. 237-252. [10.1111/j.1467-9892.2010.00695.x]

Time-varying multi-regime models fitting by genetic algorithms

BATTAGLIA, Francesco;
2011

Abstract

Many time series exhibit both nonlinearity and non-stationarity. Though both features have been often taken into account separately, few attempts have been proposed for modelling them simultaneously. We consider threshold models, and present a general model allowing for different regimes both in time and in levels, where regime transitions may happen according to self-exciting, or smoothly varying or piecewise linear threshold modelling. Since fitting such a model involves the choice of a large number of structural parameters, we propose a procedure based on genetic algorithms, evaluating models by means of a generalized identification criterion. The performance of the proposed procedure is illustrated with a simulation study and applications to some real data.
2011
threshold model; non-stationary time series; nonlinear time series
01 Pubblicazione su rivista::01a Articolo in rivista
Time-varying multi-regime models fitting by genetic algorithms / Battaglia, Francesco; Mattheos K., Protopapas. - In: JOURNAL OF TIME SERIES ANALYSIS. - ISSN 0143-9782. - STAMPA. - 32:3(2011), pp. 237-252. [10.1111/j.1467-9892.2010.00695.x]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/36978
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