Premium
A CLASS OF MODELS FOR NON‐NORMAL TIME SERIES
Author(s) -
Janacek G. J.,
Swift A. L.
Publication year - 1990
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1990.tb00039.x
Subject(s) - series (stratigraphy) , mathematics , normality , transformation (genetics) , class (philosophy) , econometrics , statistics , computer science , artificial intelligence , paleontology , biochemistry , chemistry , biology , gene
. We propose a model for non‐normal times series in which we regard the series as an instantaneous transformation of an underlying ‘generating’ series which is normal. We describe a procedure which simultaneously estimates both the transformation to normality and the time series structure of the underlying series. This model has several advantages; in particular several alternative types of forecast can easily be calculated. The relative merits of these forecasts are considered.