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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

Optimal formulations for nonlinear autoregressive processes

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014

Persistent link: https://www.econbiz.de/10010390075

Modelling and trading the English and German stock markets with novelty optimization techniques

Karathanasopoulos, Andreas; Mitra, Sovan; Skindilias, … - In: Journal of forecasting 36 (2017) 8, pp. 974-988

Persistent link: https://www.econbiz.de/10011860938

Evolutionary computational approach in TAR model estimation

Parpinel, Francesca; Pizzi, Claudio - 2011

Persistent link: https://www.econbiz.de/10011628855

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

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

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