Use aggregate slide estimate additive splines estimation for the diagnosis of non-linear composite model self-regression with practical application
DOI:
https://doi.org/10.33095/jeas.v23i96.372Keywords:
أنموذج الانحدار الذاتي اللاخطي مع متغير خارجي ،التجميع ، تقدير الشرائح ،العقد الداخلية ،التشخيص., : NARX , Additive , Splines Estimation , Interior Knots , Identification.Abstract
Nonlinear time series analysis is one of the most complex problems ; especially the nonlinear autoregressive with exogenous variable (NARX) .Then ; the problem of model identification and the correct orders determination considered the most important problem in the analysis of time series . In this paper , we proposed splines estimation method for model identification , then we used three criterions for the correct orders determination. Where ; proposed method used to estimate the additive splines for model identification , And the rank determination depends on the additive property to avoid the problem of curse dimensionally . The proposed method is one of the nonparametric methods , and the simulation results give a good identification of the NARX models and the BIC criteria is the best criterion used to determine the correct orders of the selected models.
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