Linearity Testing Against a Fuzzy Rule-based Model
José Luis Aznarte M.,
Marcelo Medeiros () and
José Manuel Benítez Sánchez
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José Manuel Benítez Sánchez: Department of Computer Science and Artificial Intelligence,CITIC-UGR, University of Granada, (Spain)
No 566, Textos para discussão from Department of Economics PUC-Rio (Brazil)
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.
Keywords: fuzzy rule-based models; time series; linearity test; statistical inference (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:rio:texdis:566
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