Automatic identification of seasonal transfer function models by means of iterative stepwise and genetic algorithms

Monica Chiogna, Carlo Gaetan and Guido Masarotto

Journal of Time Series Analysis, 2008, vol. 29, issue 1, 37-50

Abstract: Abstract. In this article, we introduce an automatic identification procedure for transfer function models. These models are commonplace in time‐series analysis, but their identification can be complex. To tackle this problem, we propose to couple a nonlinear conditional least‐squares algorithm with a genetic search over the model space. We illustrate the performances of our proposal by examples on simulated and real data.

Date: 2008
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.2007.00544.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:29:y:2008:i:1:p:37-50

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().