2012 Fiscal Year Final Research Report
Statistical inference of transformed non-stationary time series models and its applications to economic analysis.
| Project/Area Number |
22730175
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Economic statistics
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| Research Institution | Otaru University of Commerce |
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Principal Investigator |
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| Project Period (FY) |
2010 – 2012
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| Keywords | Box-Cox変換 / 時系列モデル |
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| Research Abstract |
I propose a new estimation procedure of the modified Box-Cox transformed stationary autoregressive-moving average models and examine the performance of the algorithm. The order selection is mostly successful and proposed estimation procedure works very well. I apply this model to the Japanese stock market data.
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