BoxCox.ar | R Documentation |
Determine the appropriate power transformation for time-series data. The objective is to estimate the power transformation so that the transformed time series is approximately a Gaussian AR process.
BoxCox.ar(y, order, lambda = seq(-2, 2, 0.01), plotit = TRUE, method = c("mle", "yule-walker", "burg", "ols", "yw"), ...)
y |
univariate time series (must be positive) |
order |
AR order for the data; if missing, the order is determined by AIC for the log-transformed data |
lambda |
a vector of candidate power transformation values; if missing, it is set to be from -2 to 2, with increment .01 |
plotit |
logical value, if true, plot the profile log-likelihood for the power estimator |
method |
method of AR estimation; default is "mle" |
... |
other parameters to be passed to the ar function |
A list that contains the following:
lambda |
candidate power transformation parameter values |
loglike |
profile log-likelihood |
mle |
maximum likelihood estimate of the power transformation value |
ci |
95% C.I. of the power transformation value |
The procedure is very computer intensive. Be patient for the outcome
Kung-Sik Chan
data(hare) # hare.transf=BoxCox.ar(y=hare) # hare.transf$ci
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