Aznarte, José Luis Medeiros, Marcelo C. Benítez Sánchez, José Manoel
Year of Publication:
Texto para discussão 566
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.
fuzzy rule-based models time series linearity test statistical inference