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2. Automatic identification of seasonal transfer function models by means of iterative stepwise and genetic algorithms

Author

Carlo Gaetan, Monica Chiogna, Guido Masarotto, CHIOGNA M, GAETAN C, and MASAROTTO G.

Subjects
Statistics and Probability, model selection, Applied Mathematics, Model selection, Genetic algorithms, Space (mathematics), Genetic search, Transfer function, subset models, Nonlinear system, Identification (information), Genetic algorithm, Statistics, Statistics, Probability and Uncertainty, Algorithm, Mathematics
Abstract

In this article, we introduce an automatic identification procedure for transfer function models. These models are commonplace in time-series analysis, but their identification can be complex. To tackle this problem, we propose to couple a nonlinear conditional least-squares algorithm with a genetic search over the model space. We illustrate the performances of our proposal by examples on simulated and real data.

Published
2007
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