Transformed-Linear Innovations Algorithm for Modeling and Forecasting of Time Series Extremes
用于时间序列极值建模与预测的变换线性新息算法
The innovations algorithm is a classical recursive forecasting algorithm used in time series analysis. We develop the innovations algorithm for a class of nonnegative regularly varying time series models constructed via transformed-linear arithmetic. In addition to providing the best linear predictor, the algorithm also enables us to estimate parameters of transformed-linear regularly-varying moving average (MA) models, thus providing a tool for modeling. We first construct…