✦ LIBER ✦

Forecasts of power-transformed series

✍ Scribed by Alan Pankratz; Underwood Dudley

Publisher: John Wiley and Sons
Year: 1987
Tongue: English
Weight: 627 KB
Volume: 6
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.3980060403

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✦ Synopsis

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.

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