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Variance Stabilizing Power Transformation For Time Series, Victor M. Guerrero, Rafael Perera
Variance Stabilizing Power Transformation For Time Series, Victor M. Guerrero, Rafael Perera
Journal of Modern Applied Statistical Methods
A confidence interval was derived for the index of a power transformation that stabilizes the variance of a time-series. The process starts from a model-independent procedure that minimizes a coefficient of variation to yield a point estimate of the transformation index. The confidence coefficient of the interval is calibrated through a simulation.