Conditional Granger Causality and Genetic Algorithms in VAR Model Selection
Overcoming symmetry in combinatorial evolutionary algorithms is a challenge for existing niching methods. This research presents a genetic algorithm designed for the shrinkage of the coefficient matrix in vector autoregression (VAR) models, constructed on two pillars: conditional Granger causality a...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-08-01
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| Series: | Symmetry |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2073-8994/11/8/1004 |