Nonlinear Time Series Modeling: A Unified Perspective, Algorithm, and Application

3 Aug 2013Subhadeep MukhopadhyayEmanuel Parzen

A new comprehensive approach to nonlinear time series analysis and modeling is developed in the present paper. We introduce novel data-specific mid-distribution based Legendre Polynomial (LP) like nonlinear transformations of the original time series Y(t) that enables us to adapt all the existing stationary linear Gaussian time series modeling strategy and made it applicable for non-Gaussian and nonlinear processes in a robust fashion... (read more)

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