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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DOI: 10.1080/02664760120076689

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