BoxCox

0th

Percentile

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 corresponding upper and lower intervals.

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

BoxCox.lambda

Aliases
  • BoxCox
  • InvBoxCox
Examples
# NOT RUN {
lambda <- BoxCox.lambda(lynx)
lynx.fit <- ar(BoxCox(lynx,lambda))
plot(forecast(lynx.fit,h=20,lambda=lambda))

# }
Documentation reproduced from package forecast, version 8.5, License: GPL-3

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