BoxCox: Box Cox Transformation

In forecast: Forecasting Functions for Time Series and Linear Models

Box Cox Transformation

Description

BoxCox() returns a transformation of the input variable using a Box-Cox transformation. InvBoxCox() reverses the transformation.

Usage

BoxCox(x, lambda)

InvBoxCox(x, lambda, biasadj = FALSE, fvar = NULL)

Arguments

x	a numeric vector or time series of class ts.
lambda	transformation parameter. If lambda = "auto", then the transformation parameter lambda is chosen using BoxCox.lambda (with a lower bound of -0.9)
biasadj	Use adjusted back-transformed mean for Box-Cox transformations. If transformed data is used to produce forecasts and fitted values, a regular back transformation will result in median forecasts. If biasadj is TRUE, an adjustment will be made to produce mean forecasts and fitted values.
fvar	Optional parameter required if biasadj=TRUE. Can either be the forecast variance, or a list containing the interval level, and the corresponding upper and lower intervals.

Details

The Box-Cox transformation (as given by Bickel & Doksum 1981) is given by

f_\lambda(x) =(sign(x)|x|^\lambda - 1)/\lambda

if \lambda\ne0. For \lambda=0,

f_0(x)=\log(x)

.

Value

a numeric vector of the same length as x.

Author(s)

Rob J Hyndman & Mitchell O'Hara-Wild

References

Box, G. E. P. and Cox, D. R. (1964) An analysis of transformations. JRSS B 26 211–246. Bickel, P. J. and Doksum K. A. (1981) An Analysis of Transformations Revisited. JASA 76 296-311.

See Also

BoxCox.lambda

Examples

lambda <- BoxCox.lambda(lynx)
lynx.fit <- ar(BoxCox(lynx,lambda))
plot(forecast(lynx.fit,h=20,lambda=lambda))

forecast documentation built on Aug. 31, 2023, 5:13 p.m.