forecast (version 9.0.0)

BoxCox.lambda: Automatic selection of Box Cox transformation parameter

Description

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

Usage

BoxCox.lambda(x, method = c("guerrero", "loglik"), lower = -1, upper = 2)

Value

a number indicating the Box-Cox transformation parameter.

Arguments

x

A numeric vector or time series of class ts.

method

Choose method to be used in calculating lambda.

lower

Lower limit for possible lambda values.

upper

Upper limit for possible lambda values.

Author

Leanne Chhay and Rob J Hyndman

Details

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.

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()

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))