Genetic Algorithms to Estimate Parameters of Fractional Arima Process

Boyan Lomev and Maria Gergova ()
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Maria Gergova: Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski

Yearbook of the Faculty of Economics and Business Administration, Sofia University, 2012, vol. 10, issue 1, 105-122

Abstract: The article examines the possibility to estimate parameters of Fractional Arima Process using genetic algorithms. In particular, an assessment of the indicator of fractional differentiation d by the method of Whittle using genetic algorithms has been made. In order to have comparable data as the basis for comparison is used the established classical method for evaluation of Whittle FARIMA coefficients.

Keywords: long-term dependence; FARIMA (p, d, q); Whittle method, genetic algorithms – binary and continuous, fitness function, selection, mutation, crossover. (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:sko:yrbook:v:10:y:2012:i:1:p:105-122

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