Nonlinear prediction via Hermite transformation

Tucker McElroy () and Srinjoy Das

Statistical Theory and Related Fields, 2021, vol. 5, issue 1, 49-54

Abstract: General prediction formulas involving Hermite polynomials are developed for time series expressed as a transformation of a Gaussian process. The prediction gains over linear predictors are examined numerically, demonstrating the improvement of nonlinear prediction.

Date: 2021
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DOI: 10.1080/24754269.2020.1856589

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