BoxCox
Box Cox Transformation
BoxCox() returns a transformation of the input variable using a Box-Cox transformation. InvBoxCox() reverses the transformation.
- Keywords
- ts
Usage
BoxCox(x, lambda)InvBoxCox(x, lambda, biasadj = FALSE, fvar = NULL)
Arguments
- x
a numeric vector or time series of class
ts.- lambda
transformation parameter. If
lambda = "auto", then the transformation parameter lambda is chosen using BoxCox.lambda.- biasadj
Use adjusted back-transformed mean for Box-Cox transformations. If transformed data is used to produce forecasts and fitted values, a regular back transformation will result in median forecasts. If biasadj is TRUE, an adjustment will be made to produce mean forecasts and fitted values.
- fvar
Optional parameter required if biasadj=TRUE. Can either be the forecast variance, or a list containing the interval
level, and the correspondingupperandlowerintervals.
Details
The Box-Cox transformation is given by $$f_\lambda(x) =\frac{x^\lambda - 1}{\lambda}$$ if \(\lambda\ne0\). For \(\lambda=0\), $$f_0(x)=\log(x)$$.
Value
a numeric vector of the same length as x.
References
Box, G. E. P. and Cox, D. R. (1964) An analysis of transformations. JRSS B 26 211--246.
See Also
Examples
# NOT RUN {
lambda <- BoxCox.lambda(lynx)
lynx.fit <- ar(BoxCox(lynx,lambda))
plot(forecast(lynx.fit,h=20,lambda=lambda))
# }