In today's world, Nonlinear autoregressive exogenous model has become a topic of great relevance and interest to many people. From its origins to its impact on today's society, Nonlinear autoregressive exogenous model has sparked curiosity and debate in different areas. Throughout history, Nonlinear autoregressive exogenous model has played a fundamental role in various cultures and has evolved over time, adapting to the needs and demands of each era. In this article, we will explore the origins, influence and impact of Nonlinear autoregressive exogenous model, as well as its relevance today and its projection in the future.
In time series modeling, a nonlinear autoregressive exogenous model (NARX) is a nonlinear[disambiguation needed] autoregressive model which has exogenous inputs. This means that the model relates the current value of a time series to both:
In addition, the model contains an error term which relates to the fact that knowledge of other terms will not enable the current value of the time series to be predicted exactly.
Such a model can be stated algebraically as
Here y is the variable of interest, and u is the externally determined variable. In this scheme, information about u helps predict y, as do previous values of y itself. Here ε is the error term (sometimes called noise). For example, y may be air temperature at noon, and u may be the day of the year (day-number within year).
The function F is some nonlinear function, such as a polynomial. F can be a neural network, a wavelet network, a sigmoid network and so on. To test for non-linearity in a time series, the BDS test (Brock-Dechert-Scheinkman test) developed for econometrics can be used.