استعمال تقدير الشرائح التجميعية Additive Splines Estimation لتشخيص أنموذج الانحدار الذاتي التجميعي اللاخطي بوجود متغير خارجي NAARX مع تطبيق عملي

Abstract EN

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.