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.
a number indicating the Box-Cox transformation parameter.
References
Box, G. E. P. and Cox, D. R. (1964) An analysis of transformations. JRSS B26 211--246.
Guerrero, V.M. (1993) Time-series analysis supported by power transformations. Journal of Forecasting, 12, 37--48.