DURAĞAN ZAMAN SERİLERİNDE UYGUN ARMA MODELİNİN GENETİK ALGORİTMALAR İLE BULUNMASI VE İMKB VERİLERİ ÜZERİNE BİR UYGULAMA
Abstract
Genetik ve doğal, seçilim ilkesini büyük ölçüde taklit eden genetik
algoritmalar, optimizasyon süreçlerinde ve hesaplama yükünün çok fazla olduğu
durumlarda başarıyla uygulanma potansiyeline sahiptir. Bu çalışmada uygun
ARMA modelinin seçiminde ancak tüm mümkün regresyonların taratılmasıyla
elde edilebilecek sonuçlara yakın bir sonucun genetik algoritmalar ile bulunması
olanakları sunulmuştur. Yöntemi uygulamak için Eviews 5.0 'da bir program
yazılmış ve İMKB endeks verilerine uygulanmıştır.
References
- Back, T . , Fogcl, D . B . , Michalewiez, Z . (2000): Evolutionary Computation 2 - Advanced algorithms and Operators, Institute of Physics Publishing, Bristol and Philadelphia.
- Balcombe, K . G . (2005): "Model Selection Using Information Criteria and Genetic Algorithms", Computational Economics, 25, p. 207-228.
- Dawid, H . (1999): Adaptive Learning by Genetic Algorithms - Analytical Results and Applications to Economic Models, Springer, New York.
- Hashemİnia, H . , Niaki, S . T . A . (2006): "A genetic algorithm approach to find the best regression/econometric model among the candidates", Applied Mathematics and Computation, 183, p. 337-349.
- Haupt, R . L . , Haupt, S . E . (2004): Practical Genetic Algorithms, Second Edition, John Wiley & Sons Inc., Canada.
- Holland, J . H . (1975): Adaptation İn Natural and Artificial Systems, University of Michigan Press. (Second Edition: M I T Press, 1992).
- Mitchell, M. (1999), A n Introduction to Genetic Algorithms, M I T Press. 1999. England.
- Ong, C . S . , Huang, J.İ., Tzeng, G . H . (2005): "Model identification oF A R I M A family using genetic algorithms", Applied Mathematics and Computation, 164, p. 885-912.
Year 2007,
Volume: 57 Issue: 1, 21 - 38, 26.01.2012
Abstract
References
- Back, T . , Fogcl, D . B . , Michalewiez, Z . (2000): Evolutionary Computation 2 - Advanced algorithms and Operators, Institute of Physics Publishing, Bristol and Philadelphia.
- Balcombe, K . G . (2005): "Model Selection Using Information Criteria and Genetic Algorithms", Computational Economics, 25, p. 207-228.
- Dawid, H . (1999): Adaptive Learning by Genetic Algorithms - Analytical Results and Applications to Economic Models, Springer, New York.
- Hashemİnia, H . , Niaki, S . T . A . (2006): "A genetic algorithm approach to find the best regression/econometric model among the candidates", Applied Mathematics and Computation, 183, p. 337-349.
- Haupt, R . L . , Haupt, S . E . (2004): Practical Genetic Algorithms, Second Edition, John Wiley & Sons Inc., Canada.
- Holland, J . H . (1975): Adaptation İn Natural and Artificial Systems, University of Michigan Press. (Second Edition: M I T Press, 1992).
- Mitchell, M. (1999), A n Introduction to Genetic Algorithms, M I T Press. 1999. England.
- Ong, C . S . , Huang, J.İ., Tzeng, G . H . (2005): "Model identification oF A R I M A family using genetic algorithms", Applied Mathematics and Computation, 164, p. 885-912.
There are 8 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Articles |
| Authors | |
| Publication Date | January 26, 2012 |
| Published in Issue | Year 2007 Volume: 57 Issue: 1 |