Summary
Two parametric sets of normalizing transformations for the compound Poisson process are considered. The transformations in the first set are also variance stabilizing, and the optimum variance stabilizing transformation and an optimum normalizing transformation in this set are determined. The second set consists of power transformations, and an optimum normalizing transformation is obtained. Some comparisons with respect to normalization are made between these optimum transformations.
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The work of this author was performed while he was a visitor at the Department of Statistics, State University of New York at Buffalo.
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Bar-Lev, S.K., Enis, P. Variance stabilizing and normalizing transformations for the compound poisson process. Metrika 39, 165–175 (1992). https://doi.org/10.1007/BF02613996
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DOI: https://doi.org/10.1007/BF02613996