{"title":"Nonlinear prediction via Hermite transformation","authors":"T. McElroy, Srinjoy Das","doi":"10.1080/24754269.2020.1856589","DOIUrl":null,"url":null,"abstract":"ABSTRACT 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.","PeriodicalId":22070,"journal":{"name":"Statistical Theory and Related Fields","volume":"5 1","pages":"49 - 54"},"PeriodicalIF":0.7000,"publicationDate":"2020-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/24754269.2020.1856589","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Statistical Theory and Related Fields","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/24754269.2020.1856589","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
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Abstract
ABSTRACT 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.
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