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Variance stabilizing power transformation for time series

Abstract:
A confidence interval was derived for the index of a power transformation that stabilizes the variance of a time-series. The process starts from a model-independent procedure that minimizes a coefficient of variation to yield a point estimate of the transformation index. The confidence coefficient of the interval is calibrated through a simulation. Copyright © 2004 JMASM, Inc.

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Authors


Guerrero, VM More by this author
Journal:
Journal of Modern Applied Statistical Methods
Volume:
3
Issue:
2
Pages:
357-369
Publication date:
2004
ISSN:
1538-9472
URN:
uuid:a169ac15-438c-4a38-8d52-da138a6cf6db
Source identifiers:
116691
Local pid:
pubs:116691

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