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 |
| _version_ | 1797677020790915072 |
|---|---|
| author | Tucker McElroy Srinjoy Das |
| author_facet | Tucker McElroy Srinjoy Das |
| author_sort | Tucker McElroy |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-11T22:38:52Z |
| format | Article |
| id | doaj.art-83467d47ee274df18d609312f06d6d07 |
| institution | Directory Open Access Journal |
| issn | 2475-4269 2475-4277 |
| language | English |
| last_indexed | 2024-03-11T22:38:52Z |
| publishDate | 2021-01-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Statistical Theory and Related Fields |
| spelling | doaj.art-83467d47ee274df18d609312f06d6d072023-09-22T09:19:46ZengTaylor & Francis GroupStatistical Theory and Related Fields2475-42692475-42772021-01-0151495410.1080/24754269.2020.18565891856589Nonlinear prediction via Hermite transformationTucker McElroy0Srinjoy Das1U.S. Census BureauUniversity of California San DiegoGeneral 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.http://dx.doi.org/10.1080/24754269.2020.1856589gaussian transformationhermite polynomialnonlinear forecastingtime series |
| spellingShingle | Tucker McElroy Srinjoy Das Nonlinear prediction via Hermite transformation Statistical Theory and Related Fields gaussian transformation hermite polynomial nonlinear forecasting time series |
| title | Nonlinear prediction via Hermite transformation |
| title_full | Nonlinear prediction via Hermite transformation |
| title_fullStr | Nonlinear prediction via Hermite transformation |
| title_full_unstemmed | Nonlinear prediction via Hermite transformation |
| title_short | Nonlinear prediction via Hermite transformation |
| title_sort | nonlinear prediction via hermite transformation |
| topic | gaussian transformation hermite polynomial nonlinear forecasting time series |
| url | http://dx.doi.org/10.1080/24754269.2020.1856589 |
| work_keys_str_mv | AT tuckermcelroy nonlinearpredictionviahermitetransformation AT srinjoydas nonlinearpredictionviahermitetransformation |