Abstract

COGOLLO, Miladys R.; VELASQUEZ, Juan D.  and  JARAMILLO, Patricia. ESTIMATION OF THE NONLINEAR MOVING AVERAGE MODEL PARAMETERS USING THE DE-PSO META-HEURISTIC. Rev. ing. univ. Medellín [online]. 2013, vol.12, n.22, pp.147-156. ISSN 1692-3324.

Theoretical extension of the linear moving average models to the nonlinear case is direct and straightforward. However, the practical use of nonlinear moving average models is limited because of complexity of the parameters space and the impossibility of establishing the analytic derivate of estimation function. In this article, we evaluate the use of the Differential Evolution - Particle Swarm Optimization hybrid algorithm for calculating the optimal parameters of the nonlinear moving averages model. Obtained results show that the used meta-heuristic technique is able to calculate with more accuracy the values of the parameters of the model in comparison with the traditional algorithms. This finding encourages us to explore the use of meta-heuristics in the estimation of the parameters of other nonlinear moving average models.

Keywords : Nonlinear time series; Nonparametric methods; Finance; Calibration; Econometric models; Nonlinear optimization.

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