Regressor and structure selection in NARX models using a structured ANOVA approach

Regressor selection can be viewed as the rst step in the system identi cation process. The bene ts of nding good regressors before estimating complex models are especially clear for nonlinear systems, where the class of possible models is huge. In this article, a structured way of using the tool Analysis of Variance (ANOVA) is presented and used for NARX model (nonlinear autoregressive model with exogenous input) identi cation with many candidate regressors.