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

International audienceIn 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

Testing for Heteroskedasticity of the Residuals in Fuzzy Rule-Based Models

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.Spanish Ministerio de Ciencia e Innovaci´on (MICINN) under Project grants MICINN TIN2009- 14575 and CIT-460000-2009-4