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Testing for heteroskedasticity of the residuals in fuzzy rule-based models

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 the residual time series is homoscedastic or not, that is, if it has the same variance throughout time. This is another important step towards a statistically sound modelling strategy for fuzzy rule-based models.
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Submitted on : Tuesday, August 3, 2010 - 10:28:20 AM
Last modification on : Wednesday, November 17, 2021 - 12:29:51 PM
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  • HAL Id : hal-00506731, version 1


José-Luis Aznarte, José-M. Benitez. Testing for heteroskedasticity of the residuals in fuzzy rule-based models. Twenty Third International Conference on Industrial, Engineering & Other Applications of Applied Intelligent Systems - IEA-AIE 2010, Jun 2010, Córdoba, Spain. 8 p. - ISBN 978-3-642-13021-2. ⟨hal-00506731⟩



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