More on the estimation of box-cox transformation |
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| Authors: | Yang Zhenlin |
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| Institution: | Department of Economics and Statistics , National University of Singapore , 0511, Singapore10 Kent Ridge Crescent |
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| Abstract: | The behavior of the Box-Cox estimate of power transformation is further examined. Through the asymptotic expansions and small-σ approximations, the exact nature of dependence of transformation estimation on the model structure, the spread of the means and the error variance is revealed. The results are shown to be useful in assessing what Box and Cox called transformation potential of a particular data set. |
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| Keywords: | Asymptotic expansion Box-Cox transformation estimation model structure small a approximation transformation potential |
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