transformation parameter. If lambda = "auto", then
the transformation parameter lambda is chosen using BoxCox.lambda (with a lower bound of -0.9)
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
corresponding upper and lower intervals.
Author
Rob J Hyndman & Mitchell O'Hara-Wild
Details
The Box-Cox transformation (as given by Bickel & Doksum 1981) is given by $$f_\lambda(x) =sign(x)(|x|^\lambda -
1)/\lambda$$ 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 B26 211--246.
Bickel, P. J. and Doksum K. A. (1981) An Analysis of Transformations Revisited. JASA76 296-311.