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

DOI10.1080/02664760120076689zbMath0993.62081OpenAlexW1966674741MaRDI QIDQ4540921

Hee-Jeong Kang, Key I. Shin

Publication date: 28 July 2002

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760120076689

zbMATH Keywords

simulationsinvariance properties

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

A Shrinked Forecast in Stationary Processes Favouring Percentage Error

Uses Software

• SAS/ETS

Cites Work

• An Analysis of Transformations Revisited
• Sensitivity analysis for Box-Cox power transformation model: Contrast parameters
• Forecasting power-transformed time series data

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