Arbeitspapier
Linearity Testing Against a Fuzzy Rule-based Model
In this paper, we introduce a linearity test for fuzzy rule-based models in the framework of time series modeling. To do so, we explore a family of statistical models, the regime switching autoregressive models, and the relations that link them to the fuzzy rule-based models. From these relations, we derive a Lagrange Multiplier linearity test and some properties of the maximum likelihood estimator needed for it. Finally, an empirical study of the goodness of the test is presented.
- Sprache
-
Englisch
- Erschienen in
-
Series: Texto para discussão ; No. 566
- Klassifikation
-
Wirtschaft
- Thema
-
fuzzy rule-based models
time series
linearity test
statistical inference
Fuzzy-Set-Theorie
Zeitreihenanalyse
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Aznarte, José Luis
Medeiros, Marcelo C.
Benítez Sánchez, José Manoel
- Ereignis
-
Veröffentlichung
- (wer)
-
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
- (wo)
-
Rio de Janeiro
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Aznarte, José Luis
- Medeiros, Marcelo C.
- Benítez Sánchez, José Manoel
- Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
Entstanden
- 2010
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