Генетични алгоритми за оценка на параметрите
на дробен арима процес
Genetic algorithms to estimate parameters
of Fractional Arima Process
Author(s): Boyan Lomev, Maria GergovaSubject(s): Economy
Published by: Софийски университет »Св. Климент Охридски«
Keywords: Long-term dependence; FARIMA (p d q); Whittle method; genetic algorithms - binary and continuous; fitness function; selection; mutation; crossover
Summary/Abstract: The article examines the possibility to estimate parameters of Fractional Arima Process using genetic algorithms. In particular, an assessment of the indicator of fractional differentiation d by the method of Whittle using genetic algorithms has been made. In order to have comparable data as the basis for comparison is used the established classical method for evaluation of Whittle FARIMA coefficients.
Journal: Годишник на Стопанския факултет на СУ „Св. Климент Охридски“
- Issue Year: 10/2012
- Issue No: 1
- Page Range: 105-122
- Page Count: 18
- Language: Bulgarian