Testing linearity for NARX models (Q1287103)
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scientific article; zbMATH DE number 1282227
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing linearity for NARX models |
scientific article; zbMATH DE number 1282227 |
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Testing linearity for NARX models (English)
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8 August 1999
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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.
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NARX models
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test for linearity
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kernel estimates
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least-squares estimates
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