A CLASS OF MODELS FOR NON‐NORMAL TIME SERIES

G. J. Janacek and A. L. Swift

Journal of Time Series Analysis, 1990, vol. 11, issue 1, 19-31

Abstract: Abstract. 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.

Date: 1990
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