IDEAS home Printed from https://ideas.repec.org/a/taf/japsta/v28y2001i8p1019-1028.html
   My bibliography  Save this article

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

Author

Listed:
  • Key-Il Shin
  • Hee-Jeong Kang

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.

Suggested Citation

  • Key-Il Shin & Hee-Jeong Kang, 2001. "A study on the effect of power transformation in the ARMA(p,q) model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(8), pages 1019-1028.
  • Handle: RePEc:taf:japsta:v:28:y:2001:i:8:p:1019-1028
    DOI: 10.1080/02664760120076689
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/02664760120076689
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/02664760120076689?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Paul De Bruin & Philip Hans Franses, 1999. "Forecasting power-transformed time series data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(7), pages 807-815.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Corradi, Valentina & Swanson, Norman R., 2006. "The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test," Journal of Econometrics, Elsevier, vol. 132(1), pages 195-229, May.
    2. Kiygi Calli, M. & Weverbergh, M. & Franses, Ph.H.B.F., 2010. "To Aggregate or Not to Aggregate: Should decisions and models have the same frequency?," ERIM Report Series Research in Management ERS-2010-046-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    3. Kiygi-Calli, Meltem & Weverbergh, Marcel & Franses, Philip Hans, 2017. "Modeling intra-seasonal heterogeneity in hourly advertising-response models: Do forecasts improve?," International Journal of Forecasting, Elsevier, vol. 33(1), pages 90-101.
    4. Proietti, Tommaso & Lütkepohl, Helmut, 2013. "Does the Box–Cox transformation help in forecasting macroeconomic time series?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 88-99.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:japsta:v:28:y:2001:i:8:p:1019-1028. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/CJAS20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.