Use aggregate slide estimate additive splines estimation for the diagnosis of non-linear composite model self-regression with practical application

Authors

  • فراس احمد محمد
  • علي سلمان حبيب

DOI:

https://doi.org/10.33095/jeas.v23i96.372

Keywords:

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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Published

2017-04-01

Issue

Section

Statistical Researches

How to Cite

“Use aggregate slide estimate additive splines estimation for the diagnosis of non-linear composite model self-regression with practical application” (2017) Journal of Economics and Administrative Sciences, 23(96), p. 320. doi:10.33095/jeas.v23i96.372.

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