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Nonlinear autoregressive exogenous model library. NarxSim ported to U++.

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NARX

NARX is a U++ conversion of NarxSim.

  • in complete and stable state
  • many bugfixes to original version (it had some serious hard-to-notice issues)
  • identical: same features and lack of features than in original NarxSim

In time series modeling, a nonlinear autoregressive exogenous model (NARX) is a nonlinear autoregressive model which has exogenous inputs. This means that the model relates the current value of a time series to both:

  • past values of the same series; and
  • current and past values of the driving (exogenous) series — that is, of the externally determined series that influences the series of interest.

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Nonlinear autoregressive exogenous model library. NarxSim ported to U++.

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