Estimation of Prediction Values in ARMA Models via the Transformation and Back-Transformation Method Yeo, In-Kwon; Cho, Hye-Min;
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 modified smearing estimation to reduce the bias. An empirical study on the returns of KOSDAQ index via Yeo-Johnson transformation was executed to compare the performance of existing methods and proposed methods and showed that proposed approaches provide a bias-reduced estimation of the prediction value.
Bootstrap;minimum mean square error;smearing estimation;Yeo-Johnson transformation;