Time-Series Forecast Jointly Allowing the Unit-Root Detection and the Box–Cox Transformation

DOI10.1080/03610910600591933zbMath1169.62342OpenAlexW2057441587MaRDI QIDQ5481628

Kosei Fukuda

Publication date: 10 August 2006

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910600591933

zbMATH Keywords

model selectionunit rootBox-Cox transformationAICBIC

Mathematics Subject Classification ID

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

Related Items (1)

An algorithm for estimating Box–Cox transformation parameter in ANOVA

Cites Work

• Unnamed Item
• On the sensitivity of unit root inference to nonlinear data transformations
• Estimating the dimension of a model
• Regression and time series model selection in small samples
• Testing for Unit Roots and Non-linear Transformations
• A Fast and Efficient Algorithm for the Estimation of Parameters in Models with the Box-and-Cox Transformation
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• A new look at the statistical model identification

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