Order series method for forecasting non-Gaussian time series

被引：6

作者：

Chuang, Ming-De

Yu, Gwo-Hsing

机构：

[1] Endem Species Res Inst, Div Habitats Ecosyst, Chi Chi, Nantou, Taiwan

[2] Tamkang Univ, Taipei, Taiwan

来源：

JOURNAL OF FORECASTING | 2007年 / 26卷 / 04期

关键词：

order series transformation; nonlinear instantaneous transformation; ARMA models;

D O I：

10.1002/for.1024

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 (c) 2007 John Wiley & Sons, Ltd.

引用

页码：239 / 250

页数：12

共 9 条

[1]

[Anonymous], 1976, TIME SERIES ANAL

[2]

CHUANG MD, 2000, THESIS TAMKANG U

[3]

JANACEK GJ, 1990, J TIME SER ANAL, V1, P19

[4]

LAWRANCE AJ, 1980, J ROY STAT SOC B MET, V42, P150