Mukhopadhyay, Subhadeep; Parzen, Emanuel - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-17
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 enable us to adapt all the...
