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.

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.

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 7.3, 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))