Testing for heteroskedasticity of the residuals in fuzzy rule-based models

Authors:
Aznarte M. José Luis;José M. Benítez
Affiliations:
Centre for Energy and Processes, MINES ParisTech, France;Dept. of Computer Science and A.I., CITIC, University of Granada, Spain
Venue:
IEA/AIE'10 Proceedings of the 23rd international conference on Industrial engineering and other applications of applied intelligent systems - Volume Part II
Year:
2010

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Abstract

In this paper, we propose a new diagnostic checking tool for fuzzy rule-based modelling of time series. Through the study of the residuals in the Lagrange Multiplier testing framework we devise a hypothesis test which allows us to determine if the residual time series is homoscedastic or not, that is, if it has the same variance throughout time. This is another important step towards a statistically sound modelling strategy for fuzzy rule-based models.