Automatic identification of seasonal transfer function models by means of iterative stepwise and genetic algorithms

In this article, we introduce an automatic identi\ufb01cation procedure for transfer function models. These models are commonplace in time-series analysis, but their identi\ufb01cation can be complex. To tackle this problem, we propose to couple a nonlinear conditional least-squares algorithm with a genetic search over the model space. We illustrate the performances of our proposal by examples on simulated and real data