Is it make sense that time series method to be compared with non-time series method ? and if it is possible could somebody tell me which non-times series method can I apply to make comparison between time series method and others for make a decision.
Yes. A non-time series method that I have used (as a "hack") to model time series is a generalized additive model (GAM) with a nonparametrically-smoothed time effect. For example, using the
mgcv package in
y is the response variable and
t is time, you could run something like
model = gam(y~s(t)).
This is not a standard time series model, probably due to the fact that it makes no explicit accommodation for autocorrelation over time. That is, the model assumes that the observations are i.i.d.