Modeling and forecasting time series with a general non‐normal distribution
作者:
A. Louise Swift,
期刊:
Journal of Forecasting
(WILEY Available online 1995)
卷期:
Volume 14,
issue 1
页码: 45-66
ISSN:0277-6693
年代: 1995
DOI:10.1002/for.3980140105
出版商: John Wiley&Sons, Ltd.
关键词: Johnson;Non‐normal;ARMA models;Slifker‐Shapiro
数据来源: WILEY
摘要:
AbstractWe propose a model for time series with a general marginal distribution given by the Johnson family of distributions. We investigate for which Johnson distributions forecasting using the model is likely to be most effective compared to using a linear model. Monte Carlo simulation is used to assess the reliability of methods for determining which of the three Johnson forms is most appropriate for a given series. Finally, we give model fitting and forecasting results using the modeling procedure on a selection of simulated and real time series.
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