BoxCox.lambda | R Documentation |
If method=="guerrero"
, Guerrero's (1993) method is used, where lambda
minimizes the coefficient of variation for subseries of x
.
BoxCox.lambda(x, method = c("guerrero", "loglik"), lower = -1, upper = 2)
x |
a numeric vector or time series of class |
method |
Choose method to be used in calculating lambda. |
lower |
Lower limit for possible lambda values. |
upper |
Upper limit for possible lambda values. |
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.
a number indicating the Box-Cox transformation parameter.
Leanne Chhay and Rob J Hyndman
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.
BoxCox
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))
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