Linearity testing against a fuzzy rule-based model

José Luis Aznarte; Marcelo C. Medeiros; José Manoel Benítez Sánchez

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

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Year of publication:	2010
Authors:	Aznarte, José Luis ; Medeiros, Marcelo C. ; Benítez Sánchez, José Manuel
Publisher:	Rio de Janeiro : Dep. de Economía, PUC-RIO
Subject:	Fuzzy-Set-Theorie \| Fuzzy sets \| Zeitreihenanalyse \| Time series analysis