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

  • Authors:

  • P. I. Bidyuk;I. V. Baklan;A. S. Gasanov

  • Affiliations:

  • Institute of Applied Systems Analysis, National Academy of Sciences of Ukraine and Ministry of Education and Science of Ukraine, Kiev, Ukraine peterb@mmsa.ntu-kpi.kiev.ua;Institute of Applied Systems Analysis, National Academy of Sciences of Ukraine and Ministry of Education and Science of Ukraine, Kiev, Ukraine iaa@ukr.net;International Scientific and Training UNESCO Center of Information Technologies and Systems, National Academy of Sciences of Ukraine and Ministry of Education and Science of Ukraine, Kiev, Ukraine ...

  • Venue:
  • Cybernetics and Systems Analysis
  • Year:
  • 2003

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Abstract

A problem of construction of matematical 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.