Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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A Study on the Effect of Box-Cox Power Transformation in AR(1) Model

  • Jin Hee (Graduate Department of Statistics, Hahkuk University of Foreign Studies) ;
  • I, Key-I (Associate Professor, Hahkuk University of Foreign Studies)
  • Published : 2000.04.01
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Abstract

In time series analysis we generally use Box-Cox power transformation for variance stabilization. In this paper we show that order estimator and one step ahead forecast of transformed AR(1) model are approximately invariant to those of the original model under some assumptions. A small Monte-Carlo simulation is performed to support the results.

Keywords

References

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