Selection of NARX models estimated using weighted least squares method via GIC-based method and l1-norm regularization methods
Abstract We investigate the model selection problem for nonlinear autoregressive with exogenous variables models estimated using the weighted least squares (WLS) method. Because WLS changes the statistical property of data under study and violates the assumptions imposed on the well-developed model...
Ausführliche Beschreibung
Autor*in: |
Qin, Pan [verfasserIn] Nishii, Ryuei [verfasserIn] Yang, Zi-Jiang [verfasserIn] |
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Format: |
E-Artikel |
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Sprache: |
Englisch |
Erschienen: |
2012 |
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Schlagwörter: |
Generalized information criterion Nonlinear system identification |
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Übergeordnetes Werk: |
Enthalten in: Nonlinear dynamics - Dordrecht [u.a.] : Springer Science + Business Media B.V, 1990, 70(2012), 3 vom: 06. Sept., Seite 1831-1846 |
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Übergeordnetes Werk: |
volume:70 ; year:2012 ; number:3 ; day:06 ; month:09 ; pages:1831-1846 |
Links: |
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DOI / URN: |
10.1007/s11071-012-0576-y |
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Katalog-ID: |
SPR016364791 |
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520 | |a Abstract We investigate the model selection problem for nonlinear autoregressive with exogenous variables models estimated using the weighted least squares (WLS) method. Because WLS changes the statistical property of data under study and violates the assumptions imposed on the well-developed model evaluation and selection methods (e.g. Akaike’s information criterion, Schwarz’s Bayesian information criterion, and the error reduction ratio based methods), therefore, new approaches should be investigated. In this research, an information criterion based method and two l1-norm regularization methods are taken into consideration: (a) in the former method, for models estimated using WLS, we first derive an information criterion in terms of the generalized information criterion (GIC, proposed by Konishi and Kitagawa in Biometrica 83(4):875–890, 1996), which is a theoretical framework for the analysis and extension of information criteria via a statistical functional approach. Then we develop a robust selection procedure by combining the GIC-based forward stepwise method with Subsampling; (b) in the latter two methods, we employ the l1-norm regularization methods, including Lasso and adaptive Lasso, to select models estimated with WLS. Finally, a numerical example is given to test and compare the performance of the three methods. | ||
650 | 4 | |a Generalized information criterion |7 (dpeaa)DE-He213 | |
650 | 4 | |a -norm regularization |7 (dpeaa)DE-He213 | |
650 | 4 | |a Model selection |7 (dpeaa)DE-He213 | |
650 | 4 | |a Nonlinear system identification |7 (dpeaa)DE-He213 | |
650 | 4 | |a Nonlinear autoregressive with exogenous variables model |7 (dpeaa)DE-He213 | |
650 | 4 | |a Weighted least squares |7 (dpeaa)DE-He213 | |
700 | 1 | |a Nishii, Ryuei |e verfasserin |4 aut | |
700 | 1 | |a Yang, Zi-Jiang |e verfasserin |4 aut | |
773 | 0 | 8 | |i Enthalten in |t Nonlinear dynamics |d Dordrecht [u.a.] : Springer Science + Business Media B.V, 1990 |g 70(2012), 3 vom: 06. Sept., Seite 1831-1846 |w (DE-627)315297034 |w (DE-600)2012600-1 |x 1573-269X |7 nnns |
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10.1007/s11071-012-0576-y doi (DE-627)SPR016364791 (SPR)s11071-012-0576-y-e DE-627 ger DE-627 rakwb eng 510 ASE 30.20 bkl Qin, Pan verfasserin aut Selection of NARX models estimated using weighted least squares method via GIC-based method and l1-norm regularization methods 2012 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract We investigate the model selection problem for nonlinear autoregressive with exogenous variables models estimated using the weighted least squares (WLS) method. Because WLS changes the statistical property of data under study and violates the assumptions imposed on the well-developed model evaluation and selection methods (e.g. Akaike’s information criterion, Schwarz’s Bayesian information criterion, and the error reduction ratio based methods), therefore, new approaches should be investigated. In this research, an information criterion based method and two l1-norm regularization methods are taken into consideration: (a) in the former method, for models estimated using WLS, we first derive an information criterion in terms of the generalized information criterion (GIC, proposed by Konishi and Kitagawa in Biometrica 83(4):875–890, 1996), which is a theoretical framework for the analysis and extension of information criteria via a statistical functional approach. Then we develop a robust selection procedure by combining the GIC-based forward stepwise method with Subsampling; (b) in the latter two methods, we employ the l1-norm regularization methods, including Lasso and adaptive Lasso, to select models estimated with WLS. Finally, a numerical example is given to test and compare the performance of the three methods. Generalized information criterion (dpeaa)DE-He213 -norm regularization (dpeaa)DE-He213 Model selection (dpeaa)DE-He213 Nonlinear system identification (dpeaa)DE-He213 Nonlinear autoregressive with exogenous variables model (dpeaa)DE-He213 Weighted least squares (dpeaa)DE-He213 Nishii, Ryuei verfasserin aut Yang, Zi-Jiang verfasserin aut Enthalten in Nonlinear dynamics Dordrecht [u.a.] : Springer Science + Business Media B.V, 1990 70(2012), 3 vom: 06. Sept., Seite 1831-1846 (DE-627)315297034 (DE-600)2012600-1 1573-269X nnns volume:70 year:2012 number:3 day:06 month:09 pages:1831-1846 https://dx.doi.org/10.1007/s11071-012-0576-y lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER SSG-OPC-MAT SSG-OPC-ASE GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 30.20 ASE AR 70 2012 3 06 09 1831-1846 |
spelling |
10.1007/s11071-012-0576-y doi (DE-627)SPR016364791 (SPR)s11071-012-0576-y-e DE-627 ger DE-627 rakwb eng 510 ASE 30.20 bkl Qin, Pan verfasserin aut Selection of NARX models estimated using weighted least squares method via GIC-based method and l1-norm regularization methods 2012 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract We investigate the model selection problem for nonlinear autoregressive with exogenous variables models estimated using the weighted least squares (WLS) method. Because WLS changes the statistical property of data under study and violates the assumptions imposed on the well-developed model evaluation and selection methods (e.g. Akaike’s information criterion, Schwarz’s Bayesian information criterion, and the error reduction ratio based methods), therefore, new approaches should be investigated. In this research, an information criterion based method and two l1-norm regularization methods are taken into consideration: (a) in the former method, for models estimated using WLS, we first derive an information criterion in terms of the generalized information criterion (GIC, proposed by Konishi and Kitagawa in Biometrica 83(4):875–890, 1996), which is a theoretical framework for the analysis and extension of information criteria via a statistical functional approach. Then we develop a robust selection procedure by combining the GIC-based forward stepwise method with Subsampling; (b) in the latter two methods, we employ the l1-norm regularization methods, including Lasso and adaptive Lasso, to select models estimated with WLS. Finally, a numerical example is given to test and compare the performance of the three methods. Generalized information criterion (dpeaa)DE-He213 -norm regularization (dpeaa)DE-He213 Model selection (dpeaa)DE-He213 Nonlinear system identification (dpeaa)DE-He213 Nonlinear autoregressive with exogenous variables model (dpeaa)DE-He213 Weighted least squares (dpeaa)DE-He213 Nishii, Ryuei verfasserin aut Yang, Zi-Jiang verfasserin aut Enthalten in Nonlinear dynamics Dordrecht [u.a.] : Springer Science + Business Media B.V, 1990 70(2012), 3 vom: 06. Sept., Seite 1831-1846 (DE-627)315297034 (DE-600)2012600-1 1573-269X nnns volume:70 year:2012 number:3 day:06 month:09 pages:1831-1846 https://dx.doi.org/10.1007/s11071-012-0576-y lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER SSG-OPC-MAT SSG-OPC-ASE GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 30.20 ASE AR 70 2012 3 06 09 1831-1846 |
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10.1007/s11071-012-0576-y doi (DE-627)SPR016364791 (SPR)s11071-012-0576-y-e DE-627 ger DE-627 rakwb eng 510 ASE 30.20 bkl Qin, Pan verfasserin aut Selection of NARX models estimated using weighted least squares method via GIC-based method and l1-norm regularization methods 2012 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract We investigate the model selection problem for nonlinear autoregressive with exogenous variables models estimated using the weighted least squares (WLS) method. Because WLS changes the statistical property of data under study and violates the assumptions imposed on the well-developed model evaluation and selection methods (e.g. Akaike’s information criterion, Schwarz’s Bayesian information criterion, and the error reduction ratio based methods), therefore, new approaches should be investigated. In this research, an information criterion based method and two l1-norm regularization methods are taken into consideration: (a) in the former method, for models estimated using WLS, we first derive an information criterion in terms of the generalized information criterion (GIC, proposed by Konishi and Kitagawa in Biometrica 83(4):875–890, 1996), which is a theoretical framework for the analysis and extension of information criteria via a statistical functional approach. Then we develop a robust selection procedure by combining the GIC-based forward stepwise method with Subsampling; (b) in the latter two methods, we employ the l1-norm regularization methods, including Lasso and adaptive Lasso, to select models estimated with WLS. Finally, a numerical example is given to test and compare the performance of the three methods. Generalized information criterion (dpeaa)DE-He213 -norm regularization (dpeaa)DE-He213 Model selection (dpeaa)DE-He213 Nonlinear system identification (dpeaa)DE-He213 Nonlinear autoregressive with exogenous variables model (dpeaa)DE-He213 Weighted least squares (dpeaa)DE-He213 Nishii, Ryuei verfasserin aut Yang, Zi-Jiang verfasserin aut Enthalten in Nonlinear dynamics Dordrecht [u.a.] : Springer Science + Business Media B.V, 1990 70(2012), 3 vom: 06. Sept., Seite 1831-1846 (DE-627)315297034 (DE-600)2012600-1 1573-269X nnns volume:70 year:2012 number:3 day:06 month:09 pages:1831-1846 https://dx.doi.org/10.1007/s11071-012-0576-y lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER SSG-OPC-MAT SSG-OPC-ASE GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 30.20 ASE AR 70 2012 3 06 09 1831-1846 |
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10.1007/s11071-012-0576-y doi (DE-627)SPR016364791 (SPR)s11071-012-0576-y-e DE-627 ger DE-627 rakwb eng 510 ASE 30.20 bkl Qin, Pan verfasserin aut Selection of NARX models estimated using weighted least squares method via GIC-based method and l1-norm regularization methods 2012 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract We investigate the model selection problem for nonlinear autoregressive with exogenous variables models estimated using the weighted least squares (WLS) method. Because WLS changes the statistical property of data under study and violates the assumptions imposed on the well-developed model evaluation and selection methods (e.g. Akaike’s information criterion, Schwarz’s Bayesian information criterion, and the error reduction ratio based methods), therefore, new approaches should be investigated. In this research, an information criterion based method and two l1-norm regularization methods are taken into consideration: (a) in the former method, for models estimated using WLS, we first derive an information criterion in terms of the generalized information criterion (GIC, proposed by Konishi and Kitagawa in Biometrica 83(4):875–890, 1996), which is a theoretical framework for the analysis and extension of information criteria via a statistical functional approach. Then we develop a robust selection procedure by combining the GIC-based forward stepwise method with Subsampling; (b) in the latter two methods, we employ the l1-norm regularization methods, including Lasso and adaptive Lasso, to select models estimated with WLS. Finally, a numerical example is given to test and compare the performance of the three methods. Generalized information criterion (dpeaa)DE-He213 -norm regularization (dpeaa)DE-He213 Model selection (dpeaa)DE-He213 Nonlinear system identification (dpeaa)DE-He213 Nonlinear autoregressive with exogenous variables model (dpeaa)DE-He213 Weighted least squares (dpeaa)DE-He213 Nishii, Ryuei verfasserin aut Yang, Zi-Jiang verfasserin aut Enthalten in Nonlinear dynamics Dordrecht [u.a.] : Springer Science + Business Media B.V, 1990 70(2012), 3 vom: 06. Sept., Seite 1831-1846 (DE-627)315297034 (DE-600)2012600-1 1573-269X nnns volume:70 year:2012 number:3 day:06 month:09 pages:1831-1846 https://dx.doi.org/10.1007/s11071-012-0576-y lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER SSG-OPC-MAT SSG-OPC-ASE GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 30.20 ASE AR 70 2012 3 06 09 1831-1846 |
allfieldsSound |
10.1007/s11071-012-0576-y doi (DE-627)SPR016364791 (SPR)s11071-012-0576-y-e DE-627 ger DE-627 rakwb eng 510 ASE 30.20 bkl Qin, Pan verfasserin aut Selection of NARX models estimated using weighted least squares method via GIC-based method and l1-norm regularization methods 2012 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract We investigate the model selection problem for nonlinear autoregressive with exogenous variables models estimated using the weighted least squares (WLS) method. Because WLS changes the statistical property of data under study and violates the assumptions imposed on the well-developed model evaluation and selection methods (e.g. Akaike’s information criterion, Schwarz’s Bayesian information criterion, and the error reduction ratio based methods), therefore, new approaches should be investigated. In this research, an information criterion based method and two l1-norm regularization methods are taken into consideration: (a) in the former method, for models estimated using WLS, we first derive an information criterion in terms of the generalized information criterion (GIC, proposed by Konishi and Kitagawa in Biometrica 83(4):875–890, 1996), which is a theoretical framework for the analysis and extension of information criteria via a statistical functional approach. Then we develop a robust selection procedure by combining the GIC-based forward stepwise method with Subsampling; (b) in the latter two methods, we employ the l1-norm regularization methods, including Lasso and adaptive Lasso, to select models estimated with WLS. Finally, a numerical example is given to test and compare the performance of the three methods. Generalized information criterion (dpeaa)DE-He213 -norm regularization (dpeaa)DE-He213 Model selection (dpeaa)DE-He213 Nonlinear system identification (dpeaa)DE-He213 Nonlinear autoregressive with exogenous variables model (dpeaa)DE-He213 Weighted least squares (dpeaa)DE-He213 Nishii, Ryuei verfasserin aut Yang, Zi-Jiang verfasserin aut Enthalten in Nonlinear dynamics Dordrecht [u.a.] : Springer Science + Business Media B.V, 1990 70(2012), 3 vom: 06. Sept., Seite 1831-1846 (DE-627)315297034 (DE-600)2012600-1 1573-269X nnns volume:70 year:2012 number:3 day:06 month:09 pages:1831-1846 https://dx.doi.org/10.1007/s11071-012-0576-y lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER SSG-OPC-MAT SSG-OPC-ASE GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 30.20 ASE AR 70 2012 3 06 09 1831-1846 |
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English |
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Enthalten in Nonlinear dynamics 70(2012), 3 vom: 06. Sept., Seite 1831-1846 volume:70 year:2012 number:3 day:06 month:09 pages:1831-1846 |
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Enthalten in Nonlinear dynamics 70(2012), 3 vom: 06. Sept., Seite 1831-1846 volume:70 year:2012 number:3 day:06 month:09 pages:1831-1846 |
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Generalized information criterion -norm regularization Model selection Nonlinear system identification Nonlinear autoregressive with exogenous variables model Weighted least squares |
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Qin, Pan @@aut@@ Nishii, Ryuei @@aut@@ Yang, Zi-Jiang @@aut@@ |
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Because WLS changes the statistical property of data under study and violates the assumptions imposed on the well-developed model evaluation and selection methods (e.g. Akaike’s information criterion, Schwarz’s Bayesian information criterion, and the error reduction ratio based methods), therefore, new approaches should be investigated. In this research, an information criterion based method and two l1-norm regularization methods are taken into consideration: (a) in the former method, for models estimated using WLS, we first derive an information criterion in terms of the generalized information criterion (GIC, proposed by Konishi and Kitagawa in Biometrica 83(4):875–890, 1996), which is a theoretical framework for the analysis and extension of information criteria via a statistical functional approach. Then we develop a robust selection procedure by combining the GIC-based forward stepwise method with Subsampling; (b) in the latter two methods, we employ the l1-norm regularization methods, including Lasso and adaptive Lasso, to select models estimated with WLS. 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Qin, Pan |
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Qin, Pan ddc 510 bkl 30.20 misc Generalized information criterion misc -norm regularization misc Model selection misc Nonlinear system identification misc Nonlinear autoregressive with exogenous variables model misc Weighted least squares Selection of NARX models estimated using weighted least squares method via GIC-based method and l1-norm regularization methods |
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510 ASE 30.20 bkl Selection of NARX models estimated using weighted least squares method via GIC-based method and l1-norm regularization methods Generalized information criterion (dpeaa)DE-He213 -norm regularization (dpeaa)DE-He213 Model selection (dpeaa)DE-He213 Nonlinear system identification (dpeaa)DE-He213 Nonlinear autoregressive with exogenous variables model (dpeaa)DE-He213 Weighted least squares (dpeaa)DE-He213 |
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ddc 510 bkl 30.20 misc Generalized information criterion misc -norm regularization misc Model selection misc Nonlinear system identification misc Nonlinear autoregressive with exogenous variables model misc Weighted least squares |
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selection of narx models estimated using weighted least squares method via gic-based method and l1-norm regularization methods |
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Selection of NARX models estimated using weighted least squares method via GIC-based method and l1-norm regularization methods |
abstract |
Abstract We investigate the model selection problem for nonlinear autoregressive with exogenous variables models estimated using the weighted least squares (WLS) method. Because WLS changes the statistical property of data under study and violates the assumptions imposed on the well-developed model evaluation and selection methods (e.g. Akaike’s information criterion, Schwarz’s Bayesian information criterion, and the error reduction ratio based methods), therefore, new approaches should be investigated. In this research, an information criterion based method and two l1-norm regularization methods are taken into consideration: (a) in the former method, for models estimated using WLS, we first derive an information criterion in terms of the generalized information criterion (GIC, proposed by Konishi and Kitagawa in Biometrica 83(4):875–890, 1996), which is a theoretical framework for the analysis and extension of information criteria via a statistical functional approach. Then we develop a robust selection procedure by combining the GIC-based forward stepwise method with Subsampling; (b) in the latter two methods, we employ the l1-norm regularization methods, including Lasso and adaptive Lasso, to select models estimated with WLS. Finally, a numerical example is given to test and compare the performance of the three methods. |
abstractGer |
Abstract We investigate the model selection problem for nonlinear autoregressive with exogenous variables models estimated using the weighted least squares (WLS) method. Because WLS changes the statistical property of data under study and violates the assumptions imposed on the well-developed model evaluation and selection methods (e.g. Akaike’s information criterion, Schwarz’s Bayesian information criterion, and the error reduction ratio based methods), therefore, new approaches should be investigated. In this research, an information criterion based method and two l1-norm regularization methods are taken into consideration: (a) in the former method, for models estimated using WLS, we first derive an information criterion in terms of the generalized information criterion (GIC, proposed by Konishi and Kitagawa in Biometrica 83(4):875–890, 1996), which is a theoretical framework for the analysis and extension of information criteria via a statistical functional approach. Then we develop a robust selection procedure by combining the GIC-based forward stepwise method with Subsampling; (b) in the latter two methods, we employ the l1-norm regularization methods, including Lasso and adaptive Lasso, to select models estimated with WLS. Finally, a numerical example is given to test and compare the performance of the three methods. |
abstract_unstemmed |
Abstract We investigate the model selection problem for nonlinear autoregressive with exogenous variables models estimated using the weighted least squares (WLS) method. Because WLS changes the statistical property of data under study and violates the assumptions imposed on the well-developed model evaluation and selection methods (e.g. Akaike’s information criterion, Schwarz’s Bayesian information criterion, and the error reduction ratio based methods), therefore, new approaches should be investigated. In this research, an information criterion based method and two l1-norm regularization methods are taken into consideration: (a) in the former method, for models estimated using WLS, we first derive an information criterion in terms of the generalized information criterion (GIC, proposed by Konishi and Kitagawa in Biometrica 83(4):875–890, 1996), which is a theoretical framework for the analysis and extension of information criteria via a statistical functional approach. Then we develop a robust selection procedure by combining the GIC-based forward stepwise method with Subsampling; (b) in the latter two methods, we employ the l1-norm regularization methods, including Lasso and adaptive Lasso, to select models estimated with WLS. Finally, a numerical example is given to test and compare the performance of the three methods. |
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title_short |
Selection of NARX models estimated using weighted least squares method via GIC-based method and l1-norm regularization methods |
url |
https://dx.doi.org/10.1007/s11071-012-0576-y |
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author2 |
Nishii, Ryuei Yang, Zi-Jiang |
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Nishii, Ryuei Yang, Zi-Jiang |
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doi_str |
10.1007/s11071-012-0576-y |
up_date |
2024-07-03T22:38:38.312Z |
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score |
7.397455 |