Model Validity Tests for Nonlinear Signal Processing Applications
Billings, S.A. and Tao, Q.H.
(1990)
Model Validity Tests for Nonlinear Signal Processing Applications.
Research Report.
ACSE Research Report 401
.
Department of Automatic Control and Systems Engineering
Abstract
Time series model validity tests based on general correlations are presented in this paper. It is shown that the tests 0EE(T) and 0EEE (T1 T2) can oly detect a subset of any possible unmodelled terms in the residuals, whereas 0E2E2 (T) detects all possible terms. These basic results are then extended to include functions of process or residual terms as entries in the correlation. Simulation studies are included to demonstrate the effectiveness of the tests when applied to estimated models of both simulated and real data sequences.
Metadata
Item Type:
Monograph
Authors/Creators:
Billings, S.A.
Tao, Q.H.
Copyright, Publisher and Additional Information:
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