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• W2010423130 abstract "The Box-Cox transformation has been used as a simple method of transforming dependent variable in ordinary-linear regression circumstances for improving the Gaussian-likelihood fit and making the disturbance terms of a model reasonably homoscedastic. The paper introduces a new version of the Box-Cox transformation and investigates how it works in terms of asymptotic performance and application, focusing in particular on inference on stationary multivariate ARMA models. The paper proposes a computational estimation procedure which extends the three-step Hannan and Rissanen method so as to accommodate the transformation and,for the purpose of parameter testing,the paper proposes a Monte-Carlo Wald test. The allied algorithm is applied to a bivariate series of the Tokyo stock-price index (Topix) and the call rate." @default.
• W2010423130 created "2016-06-24" @default.
• W2010423130 creator A5047632507 @default.
• W2010423130 creator A5061112266 @default.
• W2010423130 date "2007-01-01" @default.
• W2010423130 modified "2023-10-04" @default.
• W2010423130 title "A Modified Box-Cox Transformation in the Multivariate ARMA Model" @default.
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• W2010423130 doi "https://doi.org/10.14490/jjss.37.1" @default.
• W2010423130 hasPublicationYear "2007" @default.
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