Evolutionary algorithm for self-exciting threshold autoregressive model Online publication date: Thu, 14-May-2015
by Jian Hua Gao; Yuan Xiang Li; Hua Jiang; Wen Yong Dong
International Journal of Wireless and Mobile Computing (IJWMC), Vol. 8, No. 3, 2015
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.
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