Abstract
In this paper we present an implementation of a Vector autoregression (VAR) estimation model using Genetic Algorithms. The algorithm was implemented in R and compared to standard estimation models using least squares. A numerical example is presented to outline advantages of the GA approach.
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Hochreiter, R., Krottendorfer, G. (2013). Robust Estimation of Vector Autoregression (VAR) Models Using Genetic Algorithms. In: Esparcia-Alcázar, A.I. (eds) Applications of Evolutionary Computation. EvoApplications 2013. Lecture Notes in Computer Science, vol 7835. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-37192-9_23
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DOI: https://doi.org/10.1007/978-3-642-37192-9_23
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-37191-2
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