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Automatic selection for non-linear models

Abstract:

Our strategy for automatic selection in potentially non-linear processes is: test for non-linearity in the unrestricted linear formulation; if that test rejects, specify a general model using polynomials, to be simplified to a minimal congruent representation; finally select by encompassing tests of specific non-linear forms against the selected model. Non-linearity poses many problems: extreme observations leading to non-normal (fat-tailed) distributions; collinearity between non-linear func...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1007/978-0-85729-974-1_12

Authors


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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Oxford college:
Magdalen College
Role:
Author
ORCID:
0000-0001-9325-8024
More by this author
Institution:
University of Oxford
Division:
SSD
Department:
Economics
Oxford college:
Nuffield College
Role:
Author
ORCID:
0000-0002-8013-576X

Contributors

Role:
Editor
Role:
Editor
Publisher:
Springer Publisher's website
Pages:
229-250
Host title:
System Identification, Environmental Modelling, and Control System Design
Chapter number:
12
Publication date:
2011-10-20
DOI:
EISBN:
978-0-85729-974-1
ISBN:
978-0-85729-973-4
Language:
English
Keywords:
Subtype:
Chapter
Pubs id:
534036
Local pid:
pubs:534036
Deposit date:
2021-08-10

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