A CLASS OF MODELS FOR NON-NORMAL TIME SERIES
โ Scribed by G. J. Janacek; A. L. Swift
- Book ID
- 111039609
- Publisher
- John Wiley and Sons
- Year
- 1990
- Tongue
- English
- Weight
- 616 KB
- Volume
- 11
- Category
- Article
- ISSN
- 0143-9782
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
We look at the problem of forecasting time series which are not normally distributed. An overall approach is suggested which works both on simulated data and on real data sets. The idea is intuitively attractive and has the considerable advantage that it can readily be understood by nonspecialists.
We shall first review some non-normal stationary first-order autoregressive models. The models are constructed with a given marginal distribution (logistic, hyperbolic secant, exponential, Laplace, or gamma) and the requirement that the bivariate joint distribution of the generated process must be s