Testing Linearity for NARX Models

摘要

We propose to test the linearity of dynamical systems described by discrete-time NARX models. Such non- parametric models re flexible and therefore especially convenient for specification and identifi- cation purposes. A test of linearity allows to decide if it is necessary to use a non-linear model rather than a classical linear one. The key idea of our test is to use and compare a kernel estimator and a least-squares estimator.