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http://dx.doi.org/10.5351/KJAS.2008.21.3.537

Estimation of Prediction Values in ARMA Models via the Transformation and Back-Transformation Method  

Yeo, In-Kwon (Dept. of Statistics, Sookmyung Women's University)
Cho, Hye-Min (Dept. of Statistics, Sookmyung Women's University)
Publication Information
The Korean Journal of Applied Statistics / v.21, no.3, 2008 , pp. 537-546 More about this Journal
Abstract
One of main goals of time series analysis is to estimate prediction of future values. In this paper, we investigate the bias problem when the transformation and back- transformation approach is applied in ARMA models and introduce a modified smearing estimation to reduce the bias. An empirical study on the returns of KOSDAQ index via Yeo-Johnson transformation was executed to compare the performance of existing methods and proposed methods and showed that proposed approaches provide a bias-reduced estimation of the prediction value.
Keywords
Bootstrap; minimum mean square error; smearing estimation; Yeo-Johnson transformation;
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Times Cited By KSCI : 1  (Citation Analysis)
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