DescTools (version 0.99.13)

BoxCoxLambda: Automatic Selection of Box Cox Transformation Parameter

Description

An automatic selection of the Box Cox transformation parameter is estimated with two methods. Guerrero's (1993) method yields a lambda which minimizes the coefficient of variation for subseries of x. For method "loglik", the value of lambda is chosen to maximize the profile log likelihood of a linear model fitted to x. For non-seasonal data, a linear time trend is fitted while for seasonal data, a linear time trend with seasonal dummy variables is used.

Usage

BoxCoxLambda(x, method = c("guerrero", "loglik"), lower = -1, upper = 2)

Arguments

x
a numeric vector or time series
method
Choose method to be used in calculating lambda.
lower
Lower limit for possible lambda values.
upper
Upper limit for possible lambda values.

Value

  • a number indicating the Box-Cox transformation parameter.

References

Box, G. E. P. and Cox, D. R. (1964) An analysis of transformations. JRSS B 26 211--246. Guerrero, V.M. (1993) Time-series analysis supported by power transformations. Journal of Forecasting, 12, 37--48.

See Also

BoxCox

Examples

Run this code
lambda <- BoxCoxLambda(AirPassengers, lower=0)

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