The probability density function, mean and variance of the inverse square-root transformed left-truncated N(1,σ2) error component e*t(=1/ √et) of the multiplicative time series model were established. A comparison of key-statistical properties of e*t and et confirmed normality with mean 1 but with Var(e*t) ≈1/4Var(et) when σ≤0.14. Hence σ≤0.14 is the required condition for successful transformation.
Ajibade, Bright F.; Nwosu, Chinwe R.; and Mbegdu, J. I.
"The Distribution of the Inverse Square Root Transformed Error Component of the Multiplicative Time Series Model,"
Journal of Modern Applied Statistical Methods:
2, Article 15.
Available at: http://digitalcommons.wayne.edu/jmasm/vol14/iss2/15