A study on the effect of power transformation in the ARMA(p,q) model
Key-Il Shin and
Hee-Jeong Kang
Journal of Applied Statistics, 2001, vol. 28, issue 8, 1019-1028
Abstract:
In time series analysis, the Box-Cox power transformation is generally used for variance stabilization. In this paper we show that the order and the first step ahead forecast of the transformed model are approximately invariant to those of the original model under certain assumptions on the mean and variance. A small Monte Carlo simulation is performed to support the results.
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:28:y:2001:i:8:p:1019-1028
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DOI: 10.1080/02664760120076689
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