BoxCox.lambda

0th

Percentile

Automatic selection of Box Cox transformation parameter

If method=="guerrero", Guerrero's (1993) method is used, where lambda minimizes the coefficient of variation for subseries of x.

If 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.

Keywords
ts
Usage
BoxCox.lambda(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

Aliases
  • BoxCox.lambda
Examples
lambda <- BoxCox.lambda(AirPassengers,lower=0)
air.fit <- Arima(AirPassengers, order=c(0,1,1),
                 seasonal=list(order=c(0,1,1),period=12), lambda=lambda)
plot(forecast(air.fit))
Documentation reproduced from package forecast, version 3.21, License: GPL (>= 2)

Community examples

aiyuyun2010@gmail.com at Aug 22, 2018 forecast v8.4

lambda <- BoxCox.lambda(AirPassengers,lower=0) air.fit <- Arima(AirPassengers, order=c(0,1,1), seasonal=list(order=c(0,1,1),period=12), lambda=lambda) plot(forecast(air.fit))

aiyuyun2010@gmail.com at Aug 22, 2018 forecast v8.4

lambda <- BoxCox.lambda(AirPassengers,lower=0) air.fit <- Arima(AirPassengers, order=c(0,1,1), seasonal=list(order=c(0,1,1),period=12), lambda=lambda) plot(forecast(air.fit))