A fuzzy identification procedure for nonlinear time series: With example on ARCH and bilinear models

@article{Wu1999AFI,
  title={A fuzzy identification procedure for nonlinear time series: With example on ARCH and bilinear models},
  author={Berlin Wu and Shu-Lin Hung},
  journal={Fuzzy Sets and Systems},
  year={1999},
  volume={108},
  pages={275-287}
}
In this paper we propose a detecting scheme for nonlinear time-series model classi cation by using a knowledge-based construction and fuzzy statistical decision making. ARCH and bilinear models are frequently applied in economic or nancial time-series modeling, and both models exhibit certain kind of pattern similarity, such as unusual jumps and a diversity trend. So we take these two models as our illustration example for demonstration. Simulation results presented here demonstrate that our… CONTINUE READING
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