guerrero: Guerrero's method for Box Cox lambda selection

In tidyverts/tsibblestats: Feature Extraction and Statistics for Time Series

Guerrero's method for Box Cox lambda selection

Description

Applies Guerrero's (1993) method to select the lambda which minimises the coefficient of variation for subseries of x.

Usage

guerrero(x, lower = -0.9, upper = 2, .period = 2L)

Arguments

x	A numeric vector. The data used to identify the transformation parameter lambda.
lower	The lower bound for lambda.
upper	The upper bound for lambda.
.period	The length of each subseries (usually the length of seasonal period). Subseries length must be at least 2.

Details

Note that this function will give slightly different results to forecast::BoxCox.lambda(y) if your data does not start at the start of the seasonal period. This function will make use of all of your data, whereas the forecast package will not use data that doesn't complete a seasonal period.

Value

A Box Cox transformation parameter (lambda) chosen by Guerrero's method.

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.

tidyverts/tsibblestats documentation built on March 18, 2024, 9:47 a.m.