BoxCox.FitAR: Box-Cox Analysis for "FitAR" Objects

In FitAR: Subset AR Model Fitting

Description

This is a methods function to do a Box-Cox analysis for models fit using FitAR.

Usage

## S3 method for class 'FitAR'
BoxCox(object, interval = c(-1, 1), type = "BoxCox", InitLambda = "none", ...)

Arguments

object	output from FitAR
interval	interval to be searched for the optimal transformation
type	Ignored unless, InitLambda!="none". Type of transformation, default is "BoxCox". Otherwise a simple power transformation.
InitLambda	default "none". Otherwise a numerical value giving the transformation parameter.
...	optional arguments passed to optimize

Details

If no transformation is used on the data, then the original data is used. But if a transformation has already been used, we need to inverse transform the data to recover the untransformed data.

For lambda!=0, the Box-Cox transformation is of x is (x^lambda-1)/lambda . If the minimum data value is <= 0, a small positive constant, equal to the negative of the minimum plus 0.25, is added to all the data values.

Value

No value returned. Graphical output produced as side-effect. The plot shows relative likelihood function as well as the MLE and a confidence interval.

Note

The MASS package has a similar function boxcox but this is implemented only for regression and analysis of variance.

Author(s)

A.I. McLeod

References

Box, G. E. P. and Cox, D. R. (1964) An analysis of transformations. Journal of Royal Statistical Society, Series B, vol. 26, pp. 211-246.

McLeod, A.I. and Zhang, Y. (2006a). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.

McLeod, A.I. and Zhang, Y. (2006b, under review). Subset Autoregression Modelling. Journal of Statistical Sofware.

See Also

BoxCox, BoxCox.Arima

Examples

## Not run:  #takes a few seconds
#lynx time series. ARp subset model.
out<-FitAR(lynx, c(1,2,4,10,11), ARModel="ARp")
BoxCox(out)
#
#lynx time series. ARz subset model.
p<-SelectModel(lynx, ARModel="ARz", lag.max=25, Best=1)
out<-FitAR(lynx, p)
BoxCox(out)

## End(Not run)

FitAR documentation built on May 2, 2019, 3:22 a.m.