A Class of Transformations for Box‐Jenkins Seasonal Models

C. F. Ansley, W. A. Spivey and W. J. Wrobleski

Journal of the Royal Statistical Society Series C, 1977, vol. 26, issue 2, 173-178

Abstract: A numerical algorithm is developed for estimating the Box‐Cox transformation parameter λ in a seasonal arima model, jointly with other model parameters. The algorithm is easily implemented and requires only modest modification of existing Box‐Jenkins computer programs. Use of the algorithm is illustrated in analysing a time series of Chatfield and Prothero.

Date: 1977
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