Order series method for forecasting non‐Gaussian time series |
| |
| Authors: | Ming‐De Chuang Gwo‐Hsing Yu |
| |
| Affiliation: | 1. Endemic Species Research Institute, Nantou, Taiwan, ROC;2. Tamkang University, Taipei, Taiwan, ROC |
| |
| Abstract: | A new forecasting non‐Gaussian time series method based on order series transformation properties has been proposed. The proposed method improves Yu's method without using Hermite polynomial expansion to process nonlinear instantaneous transformations and provides acceptable forecasting accuracy. Copyright © 2007 John Wiley & Sons, Ltd. |
| |
| Keywords: | order series transformation nonlinear instantaneous transformation ARMA models |
|
|
