Stability analysis of RBF network-based state-dependent autoregressive model for nonlinear time series

Authors:
Min Gan;Hui Peng
Affiliations:
School of Information Science and Engineering, Central South University, Changsha, Hunan 410083, China and School of Electrical Engineering and Automation, Hefei University of Technology, Hefei, A ...;School of Information Science and Engineering, Central South University, Changsha, Hunan 410083, China
Venue:
Applied Soft Computing
Year:
2012

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Abstract

Varying-coefficient models have attracted great attention in nonlinear time series analysis recently. In this paper, we consider a semi-parametric functional-coefficient autoregressive model, called the radial basis function network-based state-dependent autoregressive (RBF-AR) model. The stability conditions and existing conditions of limit cycle of the RBF-AR model are discussed. An efficient structured parameter estimation method and the modified multi-fold cross-validation criterion are applied to identify the RBF-AR model. Application of the RBF-AR model to the famous Canadian lynx data is presented. The forecasting capability of the RBF-AR model is compared to those of other competing time series models, which shows that the RBF-AR model is as good as or better than other models for the postsample forecasts.