Dataset for: Non-Gaussian Autoregressive Processes with Tukey g-and-h Transformations
KAUST DepartmentStatistics Program; King Abdullah University of Science and Technology; Thuwal 23955-6900 Saudi Arabia
Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Permanent link to this recordhttp://hdl.handle.net/10754/664504
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AbstractWhen performing a time series analysis of continuous data, for example from climate or environmental problems, the assumption that the process is Gaussian is often violated. Therefore, we introduce two non-Gaussian autoregressive time series models that are able to fit skewed and heavy-tailed time series data. Our two models are based on the Tukey g-and-h transformation. We discuss parameter estimation, order selection, and forecasting procedures for our models and examine their performances in a simulation study. We demonstrate the usefulness of our models by applying them to two sets of wind speed data.
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