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

DOI10.1080/02664760120076689MaRDI QIDQ4540921zbMATH OpenOpenAlexFDO

Authors Key I. Shin, Hee-Jeong Kang

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

invariance propertiessimulations

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(8)

• Autocovariance functions of series and of their transforms
• Inference on transformed stationary time series
• A Shrinked Forecast in Stationary Processes Favouring Percentage Error
• scientific article; zbMATH DE number 3942855 (Why is no real title available?)
• scientific article; zbMATH DE number 3994841 (Why is no real title available?)
• Distribution and interpolation using transformed data
• Selecting a linearizing power transformation for time series
• A Modified Box-Cox Transformation in the Multivariate ARMA Model

Describes a project that uses

Uses Software

• SAS/ETS

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