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Abstract This paper presents some procedures aimed at helping an applied time‐series analyst in the use of power transformations. Two methods are proposed for selecting a variance‐stabilizing transformation and another for bias‐reduction of the forecast in the original scale. Since these methods are essentially model‐independent, they can be employed with practically any type of time‐series model. Some comparisons are made with other methods currently available and it is shown that those proposed here are either easier to apply or are more general, with a performance similar to or better than other competing procedures.
Vı́ctor M. Guerrero (Fri,) studied this question.