Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
390723 | Fuzzy Sets and Systems | 2010 | 16 Pages |
Abstract
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.
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