A study on the effect of power transformation in the ARMA(p,q) model

In time series analysis, the Box-Cox power transformation is generally used for variance stabilization. In this paper we show that the order and the first step ahead forecast of the transformed model are approximately invariant to those of the original model under certain assumptions on the mean and variance. A small Monte Carlo simulation is performed to support the results.

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Year of publication:	2001
Authors:	Shin, Key-Il ; Kang, Hee-Jeong
Published in:	Journal of Applied Statistics. - Taylor & Francis Journals, ISSN 0266-4763. - Vol. 28.2001, 8, p. 1019-1028
Publisher:	Taylor & Francis Journals

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005639778