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Order series method for forecasting non-Gaussian time series


  • Ming-De Chuang

    (Endemic Species Research Institute, Nantou, Taiwan, ROC)

  • Gwo-Hsing Yu

    (Tamkang University, Taipei, Taiwan, ROC)


A new forecasting non-Gaussian time series method based on order series transformation properties has been proposed. The proposed method improves Yu's method without using Hermite polynomial expansion to process nonlinear instantaneous transformations and provides acceptable forecasting accuracy. Copyright © 2007 John Wiley & Sons, Ltd.

Suggested Citation

  • Ming-De Chuang & Gwo-Hsing Yu, 2007. "Order series method for forecasting non-Gaussian time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(4), pages 239-250.
  • Handle: RePEc:jof:jforec:v:26:y:2007:i:4:p:239-250
    DOI: 10.1002/for.1024

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