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Order series method for forecasting non‐Gaussian time series
Author(s) -
Chuang MingDe,
Yu GwoHsing
Publication year - 2007
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.1024
Subject(s) - series (stratigraphy) , hermite polynomials , transformation (genetics) , mathematics , nonlinear system , gaussian , order (exchange) , time series , computer science , polynomial , mathematical optimization , statistics , mathematical analysis , economics , paleontology , biochemistry , chemistry , physics , finance , quantum mechanics , biology , gene
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.