Order series method for forecasting non-Gaussian time series

Ming-De Chuang and Gwo-Hsing Yu
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Ming-De Chuang: Endemic Species Research Institute, Nantou, Taiwan, ROC, Postal: Endemic Species Research Institute, Nantou, Taiwan, ROC
Gwo-Hsing Yu: Tamkang University, Taipei, Taiwan, ROC, Postal: Tamkang University, Taipei, Taiwan, ROC

Journal of Forecasting, 2007, vol. 26, issue 4, pages 239-250

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.

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