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Degeneracy of time series models: the best model is not always the correct model
Kevin Judd1, Tomomichi Nakamura
1School of Mathematics and Statistics, The University of Western Australia, Nedlands, Perth, Western Australia, 6009 Australia.
Abstract:
There are a number of good techniques for finding, in some sense, the best model of a deterministic system given a time series of observations. We examine a problem called model degeneracy, which has the consequence that even when a perfect model of a system exists, one does not find it using the best techniques currently available. The problem is illustrated using global polynomial models and the theory of Grobner bases.
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