변환-역변환을 통한 자기회귀이동평균모형에서의 예측값 추정

초록

One of main goals of time series analysis is to estimate prediction of future values.In this paper, we investigate the bias problem when the transformation and back-transformation approach is applied in ARMA models and introduce a modied smearingestimation to reduce the bias. An empirical study on the returns of KOSDAQ indexvia Yeo-Johnson transformation was executed to compare the performance of existingmethods and proposed methods and showed that proposed approaches provide a bias-reduced estimation of the prediction value.

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