A System Approach to Analysis of Adequacy of Nonlinear Time Series Models

A problem of construction of mathematical models using time series is considered. The concept of model structure is proposed that is used to develop a model construction technique. Criteria are proposed for determining possible nonlinearities with respect to variables. To estimate adequacy of the mo...

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Bibliographic Details
Published in:Cybernetics and systems analysis 2003-05, Vol.39 (3), p.440
Main Authors: Bidyuk, P I, Baklan, I V, Gasanov, A S
Format: Article
Language:English
Subjects:
Construction
Hypotheses
Mathematical models
Maximum likelihood method
Nonlinear programming
Studies
Systems analysis
Time series
Variables
Online Access:Get full text
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Summary:A problem of construction of mathematical models using time series is considered. The concept of model structure is proposed that is used to develop a model construction technique. Criteria are proposed for determining possible nonlinearities with respect to variables. To estimate adequacy of the model constructed, a set of mutually supplementing statistical criteria is given. [PUBLICATION ABSTRACT]
ISSN:1060-0396
1573-8337
DOI:10.1023/A:1025769713114