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.
- Language
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Englisch
- Bibliographic citation
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Series: Texto para discussão ; No. 566
- Classification
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Wirtschaft
- Subject
-
fuzzy rule-based models
time series
linearity test
statistical inference
Fuzzy-Set-Theorie
Zeitreihenanalyse
- Event
-
Geistige Schöpfung
- (who)
-
Aznarte, José Luis
Medeiros, Marcelo C.
Benítez Sánchez, José Manoel
- Event
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Veröffentlichung
- (who)
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Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
- (where)
-
Rio de Janeiro
- (when)
-
2010
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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Object type
- Arbeitspapier
Associated
- Aznarte, José Luis
- Medeiros, Marcelo C.
- Benítez Sánchez, José Manoel
- Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
Time of origin
- 2010
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