BCT: Box Cox Transformation

In TSPred: Functions for Benchmarking Time Series Prediction

Box Cox Transformation

Description

The BCT() function returns a transformation of the provided time series using a Box-Cox transformation. BCT.rev() reverses the transformation. Wrapper functions for BoxCox and InvBoxCox of the forecast package, respectively.

Usage

BCT(x, lambda = NULL, ...)

BCT.rev(x, lambda, ...)

Arguments

x	A numeric vector or univariate time series of class ts.
lambda	Box-Cox transformation parameter. If NULL, lambda is selected using BoxCox.lambda of the forecast package.
...	Additional arguments passed to the BoxCox.lambda function for BCT(), and to the InvBoxCox function for BCT.rev().

Details

If lambda is not 0, the Box-Cox transformation is given by

f_\lambda(x) =\frac{x^\lambda - 1}{\lambda}

If \lambda=0, the Box-Cox transformation is given by

f_0(x)=\log(x)

.

Value

A vector of the same length as x containing the transformed values.

Author(s)

Rebecca Pontes Salles

References

Box, G. E. P. and Cox, D. R. (1964) An analysis of transformations. JRSS B 26 211–246.

See Also

DIF,detrend, MAS, LT, PCT

Examples

data(CATS)
BCT(CATS[,1])

TSPred documentation built on June 11, 2025, 1:07 a.m.