상세 보기
변환-역변환을 통한 자기회귀이동평균모형에서의 예측값 추정
Estimation of Prediction Values in ARMA Models via the Transformation and Back-Transformation Method
- 여인권;
- 조혜민
Citations
WEB OF SCIENCE
0Citations
SCOPUS
0초록
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.
키워드
Bootstrap; minimum mean square error; smearing estimation; Yeo-Johnsontransformation.
- 제목
- 변환-역변환을 통한 자기회귀이동평균모형에서의 예측값 추정
- 제목 (타언어)
- Estimation of Prediction Values in ARMA Models via the Transformation and Back-Transformation Method
- 저자
- 여인권; 조혜민
- 발행일
- 2008-06
- 저널명
- 응용통계연구
- 권
- 21
- 호
- 3
- 페이지
- 537 ~ 546