Inference on transformed stationary time series

DOI10.1016/j.jeconom.2009.03.004zbMath1431.62384OpenAlexW2023717208MaRDI QIDQ2628839

Yuzo Hosoya, Takahiro Terasaka

Publication date: 18 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.03.004

zbMATH Keywords

asymptotic theoryBox-Cox transformationARMA modelWhittle likelihoodinstantaneous transformation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Uses Software

• bootstrap

Cites Work

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• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION

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