Testing linearity for NARX models (Q1287103)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Testing linearity for NARX models
scientific article

    Statements

    Testing linearity for NARX models (English)
    0 references
    8 August 1999
    0 references
    One considers the discrete-time NARX system \[ X_{n+1}= f(X_n,X_{n-1},\dots,X_{n-p+1}) -k(X_n,\dots,X_{n-p+1}) + \zeta_{n+1}, \] where \(f\) is the unknown function, \(k\) is the known stabilizing function and \(\{\zeta_{n}\}\) is the white noise. The test for linearity of the function \(f\) is proposed based on two estimates of the function \(f\) -- the recursive least squares estimator and the recursive kernel estimator.
    0 references
    0 references
    NARX models
    0 references
    test for linearity
    0 references
    kernel estimates
    0 references
    least-squares estimates
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references