A Modified Box-Cox Transformation in the Multivariate ARMA Model

DOI10.14490/jjss.37.1zbMath1138.62055MaRDI QIDQ5439650

Yuzo Hosoya, Takahiro Terasaka

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 theorems; ratio data; Monte-Carlo Wald-test; transformation-linear process

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E99: Statistical distribution theory