A CLASS OF MODELS FOR NON‐NORMAL TIME SERIES
作者:
G. J. Janacek,
A. L. Swift,
期刊:
Journal of Time Series Analysis
(WILEY Available online 1990)
卷期:
Volume 11,
issue 1
页码: 19-31
ISSN:0143-9782
年代: 1990
DOI:10.1111/j.1467-9892.1990.tb00039.x
出版商: Blackwell Publishing Ltd
关键词: Non‐normal;ARIMA;Hermite;generalized beta
数据来源: WILEY
摘要:
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 consi
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