Int. J. of Wireless and Mobile Computing   »   2015 Vol.8, No.3

 

 

Title: Evolutionary algorithm for self-exciting threshold autoregressive model

 

Authors: Jian Hua Gao; Yuan Xiang Li; Hua Jiang; Wen Yong Dong

 

Addresses:
School of Computer, Wuhan University, Wuhan Hubei, China
School of Computer, Wuhan University, Wuhan Hubei, China
School of Computer, Wuhan University, Wuhan Hubei, China
School of Computer, Wuhan University, Wuhan Hubei, China

 

Abstract: This paper proposes an evolutionary algorithm for getting the parameters of the self-exciting threshold autoregressive models. The algorithm aims to consider the number of the threshold intervals as endogenous variables and involves the threshold argument vector and delay parameter simultaneously. The parameters of the AR models in each threshold interval will be evolved during the process of searching the threshold argument vector. The experiment shows that the model founded on our algorithm has good prediction results.

 

Keywords: self-exciting threshold autoregressive models; evolutionary algorithms; threshold argument vector; delay parameter; modelling.

 

DOI: 10.1504/IJWMC.2015.069389

 

Int. J. of Wireless and Mobile Computing, 2015 Vol.8, No.3, pp.229 - 235

 

Submission date: 17 Jul 2014
Date of acceptance: 03 Sep 2014
Available online: 13 May 2015

 

 

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