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A Class of Transformations for Box‐Jenkins Seasonal Models

Author

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  • C. F. Ansley
  • W. A. Spivey
  • W. J. Wrobleski

Abstract

A numerical algorithm is developed for estimating the Box‐Cox transformation parameter λ in a seasonal arima model, jointly with other model parameters. The algorithm is easily implemented and requires only modest modification of existing Box‐Jenkins computer programs. Use of the algorithm is illustrated in analysing a time series of Chatfield and Prothero.

Suggested Citation

  • C. F. Ansley & W. A. Spivey & W. J. Wrobleski, 1977. "A Class of Transformations for Box‐Jenkins Seasonal Models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 26(2), pages 173-178, June.
    • Handle: RePEc:bla:jorssc:v:26:y:1977:i:2:p:173-178
    DOI: 10.2307/2347025
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    Cited by:

    1. Heuts, R.M.J., 1982. "The use of non-linear transformations in ARIMA-models when the data are non-Gaussian distributed," Other publications TiSEM f4ccef9b-24f6-4179-883c-9, Tilburg University, School of Economics and Management.

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