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NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

✍ Scribed by C. W. J. Granger; Jeff Hallman


Book ID
111039645
Publisher
John Wiley and Sons
Year
1991
Tongue
English
Weight
696 KB
Volume
12
Category
Article
ISSN
0143-9782

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Deletion diagnostics for transformations
✍ A. C. Atkinson; Neil Shephard πŸ“‚ Article πŸ“… 1996 πŸ› John Wiley and Sons 🌐 English βš– 917 KB

Deletion diagnostics are derived for the effect of individual observations on the estimated transformation of a time series. The paper uses the modified power transformation of Box and Cox to provide a paramemc family of transformations. Inference about the transformation parameter is made through r