Periodic Autoregressive Models with Multiple Structural Changes by Genetic Algorithms

Francesco Battaglia (), Domenico Cucina () and Manuel Rizzo ()
Additional contact information
Francesco Battaglia: Sapienza University of Rome, Department of Statistical Sciences
Domenico Cucina: University of Salerno, Department of Economics and Statistics
Manuel Rizzo: Sapienza University of Rome, Department of Statistical Sciences

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 107-110 from Springer

Abstract: Abstract We present a model and a computational procedure for dealing with seasonality and regime changes in time series. In this work we are interested in time series which in addition to trend display seasonality in mean, in autocorrelation and in variance. These type of series appears in many areas, including hydrology, meteorology, economics and finance. The seasonality is accounted for by subset PAR modelling, for which each season follows a possibly different Autoregressive model. Levels, trend, autoregressive parameters and residual variances are allowed to change their values at fixed unknown times. The identification of number and location of structural changes, as well as PAR lags indicators, is based on Genetic Algorithms, which are suitable because of high dimensionality of the discrete search space. An application to Italian industrial production index time series is also proposed.

Keywords: Time series; Seasonality; Nonstationarity (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:sprchp:978-3-319-89824-7_19

Ordering information: This item can be ordered from
http://www.springer.com/9783319898247

DOI: 10.1007/978-3-319-89824-7_19

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().