✦ LIBER ✦

Moments of power transformed time series

✍ Scribed by Richard W. Katz

Publisher: John Wiley and Sons
Year: 1999
Tongue: English
Weight: 94 KB
Volume: 10
Category: Article
ISSN: 1180-4009
DOI: 10.1002/(sici)1099-095x(199905/06)10:3<301::aid-env353>3.0.co;2-l

No coin nor oath required. For personal study only.

✦ Synopsis

A simple recursion is presented for calculating moments (e.g., mean, variance, and autocorrelation function) of a time series that has been power transformed to normality. Its derivation is elementary, relying on the moment-generating function for a bivariate normal distribution. To make clear the distinction between the moments of the transformed and original time series, the special case of a squared normal process is treated in detail. The use of the recursion is illustrated through an environmental example, motivated by stochastic modeling of hourly precipitation, that involves both stabilization of variance and ampli®cation of autocorrelation.

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