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HYBRID CODED GENETIC ALGORITHM TOWARDS DETERMINING SMOOTH TRANSITION AUTOREGRESSIVE MODELS

Year 2016, Sayı 24 (2016), 10 - 29, 29.04.2016

Serkan Taştan , Nilgün Çil

Abstract

In this paper, the specification of the smooth transition autoregressive (STAR) models as an optimization
problem has been handled with genetic algorithms. In this context a hybrid-coded genetic algorithm is
used. The success of the genetic algorithm based approach is evaluated via a benchmark STAR model
determined by conventional method. Better-fitted models than the benchmark model are obtained with the
proposed approach.

Keywords

Smooth Transition Autoregressive STAR Genetic Algorithms Model Specification

References

  • Balcombe, K. G. (2005). Model Selection Using Information Criteria and Genetic Algorithms. Computational Economics, 25(3), 207-228.
  • Baragona, R., Battaglia, F., & Cucina, D. (2004). Fitting piecewise linear threshold autoregressive models by means

DÜZGÜN GEÇİŞ OTOREGRESİF MODELLERİN BELİRLENMESİNE YÖNELİK MELEZ KODLAMALI GENETİK ALGORİTMA

Year 2016, Sayı 24 (2016), 10 - 29, 29.04.2016

Serkan Taştan , Nilgün Çil

Abstract

Bu makalede, düzgün geçiş otoregresif (STAR) modellerin belirlenmesi süreci bir optimizasyon problemi olarak genetik algoritmalar ile ele alınmıştır. Bu bağlamda melez kodlamalı bir genetik algoritma kullanılmıştır. Genetik algoritma tabanlı yaklaşımın başarısı, geleneksel yöntemle belirlenen bir referans STAR modeli üzerinden değerlendirilmiştir. Sunulan yaklaşım ile referans modelden daha iyi uyuma sahip modeller elde edilmiştir.

Keywords

Düzgün Geçiş Otoregresif STAR Genetik Algoritma Model Belirleme

References

  • Balcombe, K. G. (2005). Model Selection Using Information Criteria and Genetic Algorithms. Computational Economics, 25(3), 207-228.
  • Baragona, R., Battaglia, F., & Cucina, D. (2004). Fitting piecewise linear threshold autoregressive models by means
There are 2 citations in total.

Details

Journal Section Makaleler
Authors

Serkan Taştan

Nilgün Çil

Publication Date April 29, 2016
Published in Issue Year 2016 Sayı 24 (2016)

Cite

APA Taştan, S., & Çil, N. (2016). HYBRID CODED GENETIC ALGORITHM TOWARDS DETERMINING SMOOTH TRANSITION AUTOREGRESSIVE MODELS. Istanbul University Econometrics and Statistics E-Journal(24), 10-29.
AMA Taştan S, Çil N. HYBRID CODED GENETIC ALGORITHM TOWARDS DETERMINING SMOOTH TRANSITION AUTOREGRESSIVE MODELS. Istanbul University Econometrics and Statistics e-Journal. April 2016;(24):10-29.
Chicago Taştan, Serkan, and Nilgün Çil. “HYBRID CODED GENETIC ALGORITHM TOWARDS DETERMINING SMOOTH TRANSITION AUTOREGRESSIVE MODELS”. Istanbul University Econometrics and Statistics E-Journal, no. 24 (April 2016): 10-29.
EndNote Taştan S, Çil N (April 1, 2016) HYBRID CODED GENETIC ALGORITHM TOWARDS DETERMINING SMOOTH TRANSITION AUTOREGRESSIVE MODELS. Istanbul University Econometrics and Statistics e-Journal 24 10–29.
IEEE S. Taştan and N. Çil, “HYBRID CODED GENETIC ALGORITHM TOWARDS DETERMINING SMOOTH TRANSITION AUTOREGRESSIVE MODELS”, Istanbul University Econometrics and Statistics e-Journal, no. 24, pp. 10–29, April 2016.
ISNAD Taştan, Serkan - Çil, Nilgün. “HYBRID CODED GENETIC ALGORITHM TOWARDS DETERMINING SMOOTH TRANSITION AUTOREGRESSIVE MODELS”. Istanbul University Econometrics and Statistics e-Journal 24 (April 2016), 10-29.
JAMA Taştan S, Çil N. HYBRID CODED GENETIC ALGORITHM TOWARDS DETERMINING SMOOTH TRANSITION AUTOREGRESSIVE MODELS. Istanbul University Econometrics and Statistics e-Journal. 2016;:10–29.
MLA Taştan, Serkan and Nilgün Çil. “HYBRID CODED GENETIC ALGORITHM TOWARDS DETERMINING SMOOTH TRANSITION AUTOREGRESSIVE MODELS”. Istanbul University Econometrics and Statistics E-Journal, no. 24, 2016, pp. 10-29.
Vancouver Taştan S, Çil N. HYBRID CODED GENETIC ALGORITHM TOWARDS DETERMINING SMOOTH TRANSITION AUTOREGRESSIVE MODELS. Istanbul University Econometrics and Statistics e-Journal. 2016(24):10-29.