Building ARMA Models with Genetic Algorithms

  title={Building ARMA Models with Genetic Algorithms},
  author={Tommaso Minerva and Irene Poli},
The current state of the art in selecting ARMA time series models requires competence and experience on the part of the practitioner, and sometimes the results are not very satisfactory. In this paper, we propose a new automatic approach to the model selection problem, based upon evolutionary computation. We build a genetic algorithm which evolves the representation of a predictive model, choosing both the orders and the predictors of the model. In simulation studies, the procedure succeeded in… CONTINUE READING
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