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http://dx.doi.org/10.5351/KJAS.2007.20.3.541

Prediction Interval Estimation in Ttansformed ARMA Models  

Cho, Hye-Min (Department of Statistics, Sookmyung Women's University)
Oh, Sung-Un (Department of Statistics, Sookmyung Women's University)
Yeo, In-Kwon (Department of Statistics, Sookmyung Women's University)
Publication Information
The Korean Journal of Applied Statistics / v.20, no.3, 2007 , pp. 541-550 More about this Journal
Abstract
One of main aspects of time series analysis is to forecast future values of series based on values up to a given time. The prediction interval for future values is usually obtained under the normality assumption. When the assumption is seriously violated, a transformation of data may permit the valid use of the normal theory. We investigate the prediction problem for future values in the original scale when transformations are applied in ARMA models. In this paper, we introduce the methodology based on Yeo-Johnson transformation to solve the problem of skewed data whose modelling is relatively difficult in the analysis of time series. Simulation studies show that the coverage probabilities of proposed intervals are closer to the nominal level than those of usual intervals.
Keywords
ARMA models; coverage probability; Yeo-Johnson transformation;
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