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Abstract: The problem of determining order of ARMA model is aimed
at, based on the analysis to disadvantages of traditional approaches, a
new method is put forward, which used genetic algorithm (GA) to
determine the autoregressive orders n and moving-average orders m in
ARMA (n, m) model. Firstly, average relative variance (ARV) is defined
according to the value forecasted by ARMA model and the measured value
by sensors, in term of which the fitness function for GA is established.
Then, the fit parameters for GA such as population, crossover rate,
mutation rate, evolved generations are selected. Finally, the optimum
ARMA model is obtained after evolved generation by generation. In the
end, the sunspot data is used to verify the effectivity and
practicability of the new technique for determining the order of ARMA
model based on Genetic Algorithm, which is brought forward.
Key words: ARMA(n, m) model Determining orders Genetic
algorithm Forecasting
CLC No: TP183
O329
.Received 20040418, received in
revised form 20040906
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