Nonparametric prediction of non-Gaussian time series.
Yuan Kang LeeDon H. JohnsonPublished in: ICASSP (4) (1993)
Keyphrases
- non stationary
- prediction accuracy
- financial time series
- moving average
- autoregressive
- prediction algorithm
- exponential smoothing
- data driven
- box jenkins
- prediction model
- change point detection
- chaotic time series
- prediction error
- data sets
- sequential data
- mackey glass
- parametric models
- extreme values
- signal processing
- hidden markov models
- long term
- neural network