Testing for Heteroskedasticity of the Residuals in Fuzzy Rule-Based Models

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URI: https://hdl.handle.net/10481/77918
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Author
Aznarte, José Luis; Benítez Sánchez, José Manuel
Editorial
Springer
Date
2010-08-03
Referencia bibliográfica
José-Luis Aznarte, José-M. Benitez. Testing for heteroskedasticity of the residuals in fuzzy rule-based models. Twenty Third International Conference on Industrial, Engineering & Other Applications of Applied Intelligent Systems - IEA-AIE 2010, Jun 2010, Córdoba, Spain. 8 p. - ISBN 978-3-642-13021- 2. hal-00506731
Sponsorship
Spanish Ministerio de Ciencia e Innovaci´on (MICINN) under Project grants MICINN TIN2009- 14575 and CIT-460000-2009-46
Abstract
In this paper, we propose a new diagnostic checking tool for fuzzy rule-based modelling of time series. Through the study of the residuals in the Lagrange Multiplier testing framework we devise a hypothesis test which allows us to determine if the residual time series is homoscedastic or not, that is, if it has the same variance throughout time. This is another important step towards a statistically sound modelling strategy for fuzzy rule-based models.
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Atribución 4.0 Internacional
Except where otherwise noted, this item's license is described as Atribución 4.0 Internacional