Nonlinear prediction via Hermite transformation
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.
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
Taylor & Francis Group
2021-01-01
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Series: | Statistical Theory and Related Fields |
Subjects: | |
Online Access: | http://dx.doi.org/10.1080/24754269.2020.1856589 |