Interrupted Time Series Analysis by David McDowall;Richard McCleary;Bradley J. Bartos;

Author:David McDowall;Richard McCleary;Bradley J. Bartos;
Language: eng
Format: epub
Publisher: OUP Premium
Published: 2019-08-15T00:00:00+00:00

Most—but not all—time series can be made Normal with one of the transformations included in the Box-Cox function. Time series that are made non-Normal by “outliers,”for example, are not good candidates for transformation.This reinforces the value of a visual inspection of the time series.

Following a visual inspection of the time series, the variance of Y t(λ) can be plotted against a range of λ-values to see where the Box-Cox function turns. Since the turning point—the “best”value of λ— is usually unknown, finding a proper range of λ-values and locating the minimum value requires several approximations.

The slope of the Box-Cox function on either side of the “best”transformation conveys another useful piece of information. To illustrate, the Box-Cox function for the European wheat price time series, plotted in Figure 3.27, is more or less flat in the segment

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