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

Abstract : 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.
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https://hal-mines-paristech.archives-ouvertes.fr/hal-00487342
Contributor : Magalie Prudon <>
Submitted on : Friday, May 28, 2010 - 4:46:11 PM
Last modification on : Thursday, September 24, 2020 - 5:22:03 PM

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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⟩

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