On Properties of the Inverse Cube Transformation of Error Component of the Multiplicative Time Series Model

摘要

This paper examines the inverse cube transformation of error component e_t~* {=1/e_t~3 of multiplicative time series model. The probability density function (pdf) of the inverse cube root transformation of the multiplicative time series model was established, Further the f(y) was mathematically proved as a proper pdf since ∫_0~∞f(y)dy =1. The Statistical properties (mean and variance) of the inverse cube transformation were equally shown.