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Optimal formulations for nonlinear autoregressive processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
theoretic optimality of the score driven nonlinear autoregressive process and the asymptotic theory for maximum likelihood … parameter estimation. The performance of our model in extracting the time-varying or the nonlinear dependence for finite samples …
Persistent link: https://www.econbiz.de/10010390075
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Optimal Formulations for Nonlinear Autoregressive Processes
Blasques, Francisco - 2014
theoretic optimality of the score driven nonlinear autoregressive process and the asymptotic theory for maximum likelihood … parameter estimation. The performance of our model in extracting the time-varying or the nonlinear dependence for finite samples …
Persistent link: https://www.econbiz.de/10013049359
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Development of an efficient cluster-based portfolio optimization model under realistic market conditions
Massahi, Mahdi; Mahootchi, Masoud; Khamseh, Alireza Arshadi - In: Empirical economics : a journal of the Institute for … 59 (2020) 5, pp. 2423-2442
Persistent link: https://www.econbiz.de/10012315071
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An augmented Lagrangian filter method
Leyffer, Sven; Vanaret, Charlie - In: Mathematical methods of operations research : ZOR 92 (2020) 2, pp. 343-376
Persistent link: https://www.econbiz.de/10012395579
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Synchronization of Markov chains in multivariate regime-switching models
Vial, Raphael - 2015
Persistent link: https://www.econbiz.de/10010511447
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A variational approach to local asymptotic and exponential stabilization of nonlinear systems
Christopherson, Bryce A.; Jafari, Farhad; Morduchovič, … - In: Operations research forum 1 (2020) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10012237544
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Evolutionary computational approach in TAR model estimation
Parpinel, Francesca; Pizzi, Claudio - 2011
Persistent link: https://www.econbiz.de/10011628855
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Evolutionary Computational Approach in TAR Model Estimation
Parpinel, Francesca - 2012
-d.In this work we consider two identification procedures: the first one follows the classical estimation for SETAR models, the …
Persistent link: https://www.econbiz.de/10013111893
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Robust newsvendor problem with autoregressive demand
Carrizosa, Emilio; Olivares-Nadal, Alba V.; … - In: Computers & operations research : and their … 68 (2016), pp. 123-133
Persistent link: https://www.econbiz.de/10011442377
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Agent teams and evolutionary computation : optimizing semi-parametric spatial autoregressive models
Krisztin, Tamás; Koch, Matthias - 2011 - Manuscript received January 26, 2011
Classical spatial autoregressive models share the same weakness as the classical linear regression models, namely it is not possible to estimate non-linear relationships between the dependent and independent variables. In the case of classical linear regression a semi-parametric approach can be...
Persistent link: https://www.econbiz.de/10011527332