forecast (version 2.03)

BoxCox: Box Cox Transformation

Description

BoxCox() returns a transformation of the input variable using a Box-Cox transformation. InvBoxCox() reverses the transformation.

Usage

BoxCox(x,lambda)
InvBoxCox(x,lambda)

Arguments

x

a numeric vector or time series

lambda

transformation parameter

Value

• a numeric vector of the same length as x.

Details

The Box-Cox transformation is given by $$f_\lambda(x) =\frac{x^\lambda - 1}{\lambda}$$ if $\lambda\ne0$. For $\lambda=0$, $$f_0(x) = \log(x)$$.

References

Box, G. E. P. and Cox, D. R. (1964) An analysis of transformations. JRSS B 26 211--246.

Examples

lynx.sqrt <- BoxCox(lynx,0.5)
lynx.fit <- ar(lynx.sqrt)
plot(forecast(lynx.fit,h=20),lambda=0.5)