A Modified Box-Cox Transformation in the Multivariate ARMA Model

DOI10.14490/JJSS.37.1MaRDI QIDQ5439650zbMATH OpenOpenAlexFDO

Authors Takahiro Terasaka, Yuzo Hosoya

Publication date 11 February 2008

Published in JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL https://doi.org/10.14490/jjss.37.1

zbMATH Keywords

limit theoremsMonte-Carlo Wald-testratio datatransformation-linear process

Mathematics Subject Classification ID

Statistical distribution theory (62E99) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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