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Use aggregate slide estimate additive splines estimation for the diagnosis of non-linear composite model self-regression with practical application | ||
| journal of Economics And Administrative Sciences/ University of baghdad | ||
| Article 1, Volume 23, Issue 96, 2017, Pages 320-340 | ||
| 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. | ||
| Keywords | ||
| NARX; Additive; Splines Estimation; Interior Knots; identification | ||
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