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Can I read Forecasts of Power-transformed Series on EtoBox?
Forecasts of Power-transformed Series by Alan Pankratz; Underwood Dudley is a Economics, Econometrics and Finance article available to read on EtoBox.
What is Forecasts of Power-transformed Series about?
Consider a time series transformed by an instantaneous power function of the Box-Cox type. For a wide range of fractional powers, this paper gives the relative bias in original metric forecasts due to use of the simple inverse retransformation when minimum mean squared error (conditional mean) forecasts are optimal. This bias varies widely according to the characteristics of the data. A fast algorithm is given to find this bias, or to find minimum mean squared error forecasts in the original metric. The results depend on the assumption that the forecast errors in the transformed metric are Gaussian. An example using real data is given.
Who reads Forecasts of Power-transformed Series?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Alan Pankratz; Underwood Dudley
- Publisher
- John Wiley and Sons; Wiley (John Wiley & Sons); John Wiley & Sons Inc.; Wiley (ISSN 0277-6693)
- Published
- 1987
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)