Regression for long tailed distribution

Reply Sat 9 Nov, 2019 06:33 pm
I have a set of values which are a time series and follow a long tailed skewed distribution.
I would like to understand what the best method might be to predict the next value in the series.
Do the options include
1. Transforming the variable to try and get normality.
2. Creating an autoregressive Poisson model
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