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Testing for remaining autocorrelation of the residuals in the framework of fuzzy rule-based time series modeling
Abstract : In time series analysis remaining autocorrelation in the errors of a model implies that it is failing to properly capture the structure of time-dependence of the series under study. This can be used as a diagnostic checking tool and as an indicator of the adequacy of the model. Through the study of the errors of the model in the Lagrange Multiplier testing framework, in this paper we derive (and validate using simulated and real world examples) a hypothesis test which allows us to determine if there is some left autocorrelation in the error series. This represents a new diagnostic checking tool for fuzzy rule-based modelling of time series and is an important step towards statistically sound modelling strategy for fuzzy rule-based models.
https://hal-mines-paristech.archives-ouvertes.fr/hal-00506533
Contributeur : Magalie Prudon <>
Soumis le : mercredi 28 juillet 2010 - 09:41:19
Dernière modification le : jeudi 24 septembre 2020 - 17:22:03
Contributeur : Magalie Prudon <>
Soumis le : mercredi 28 juillet 2010 - 09:41:19
Dernière modification le : jeudi 24 septembre 2020 - 17:22:03
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