Testing for serial independence of the residuals in the framework of fuzzy rule-based time series modeling

José-Luis Aznarte (1) , Antonio Arauzo-Azofra (2) , José-Manuel Benitez-Sanchez (3)

1 CEP - Centre Énergétique et Procédés
2 Area of Project Engineering
3 Department of Computer Science and I.A.

In this paper, we propose a new diagnostic checking tool for fuzzy rule-based modelling of time series. Through the study of the residuals in the Lagrange Multiplier testing framework we devise a hypothesis test which allows us to determine if there is some left autocorrelation in the error series. This is an important step towards a statistically sound modelling strategy for fuzzy rule-based models.

Mots clés: Fuzzy rule-based models; Hypothesis tests; Sound modelling; Testing framework; Time series modeling

Domaines: Energétique

José-Luis Aznarte, Antonio Arauzo-Azofra, José-Manuel Benitez-Sanchez. Testing for serial independence of the residuals in the framework of fuzzy rule-based time series modeling. ISDA 2009 - 9th International Conference on Intelligent Systems Design and Applications, Nov 2009, Pisa, Italy. pp.Pages 1383-1387 - Article number 5363931 - ISBN: 978-076953872-3, ⟨10.1109/ISDA.2009.249⟩. ⟨hal-00487342⟩