Abstract
We study an approach by genetic algorithm to evaluate time series models. Our method attempts to fit AR, MA and ARMA models. Two fitness functions are compared. We modify the proportions of the different models in the population. We exhibit the result of applying the algorithm to two different time series.
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© 1998 Springer Science+Business Media Dordrecht
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Boné, R., Thillier, R., Yvon, F., de Beauville, J.P.A. (1998). Optimization by a Genetic Algorithm of Stochastic Linear Models of Time Series. In: Aurifeille, JM., Deissenberg, C. (eds) Bio-Mimetic Approaches in Management Science. Advances in Computational Management Science, vol 1. Springer, Boston, MA. https://doi.org/10.1007/978-1-4757-2821-7_10
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DOI: https://doi.org/10.1007/978-1-4757-2821-7_10
Publisher Name: Springer, Boston, MA
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