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Communication Dans Un Congrès Année : 2009

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

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Résumé

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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Dates et versions

hal-00487342 , version 1 (28-05-2010)

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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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