The Retransformed Mean after a Fitted Power Transformation
作者:
JeremyM. G. Taylor,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1986)
卷期:
Volume 81,
issue 393
页码: 114-118
ISSN:0162-1459
年代: 1986
DOI:10.1080/01621459.1986.10478246
出版商: Taylor & Francis Group
关键词: Box—Cox transformation;Mean prediction;Smearing estimate;Small-θ approximation
数据来源: Taylor
摘要:
An approximate method is given to estimate the mean of a dependent variable after a linear model is fitted to the Box—Cox power transformation of this variable. The estimate is accurate except when the transformation power parameter is near zero. The properties of the estimate in the one-sample and regression cases are considered, by both asymptotic calculations and Monte Carlo simulations, and comparisons are made with the smearing estimate (Duan 1983). It is shown that there can be some cost due to estimating the power transformation, as opposed to assuming it is known; however, this cost is not severe.
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