Use Aggregate Slide Estimate Additive Splines Estimation for the Diagnosis of Non-Linear Composite Model Self-Regression with Practical Application

Authors

• Firas Ahammed Mohammed AL-Mohana, Department of Statistics, College of Administration and Economics, University of Baghdad, Iraq
• Ali Salman Habeeb, Department of Statistics, College of Administration and Economics, University of Sumer, Iraq

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.

DOI

10.33095/jeas.v23i96.372

Subject Area

Statistical

First Page

320

Last Page

340

Recommended Citation

Mohammed AL-Mohana, F. A., & Habeeb, A. S. (2017). 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, 23(96), 320-340. https://doi.org/10.33095/jeas.v23i96.372