NONLINEAR ADDITIVE ARX MODELS

We consider in this article a class of nonlinear additive autoregressi ve models with exogenous variables for nonlinear time series analysis and propose two modeling procedures for building such models. The proc edures proposed use two backfitting techniques (the ACE and BRUTO algo rithms) to identify the nonlinear functions involved and use the metho ds of best subset regression and variable selection in regression anal ysis to determine the final model. Simulated and real examples are use d to illustrate the analysis.