Abstract: | The primary aim of this paper is to select an appropriate power transformation when we use ARMA models for a given time series. We propose a Bayesian procedure for estimating the power transformation as well as other parameters in time series models. The posterior distributions of interest are obtained utilizing the Gibbs sampler, a Markov Chain Monte Carlo (MCMC) method. The proposed methodology is illustrated with two real data sets. The performance of the proposed procedure is compared with other competing procedures. © 1997 John Wiley & Sons, Ltd. |