Automatic Selection of Box Cox Transformation Parameter
An automatic selection of the Box Cox transformation parameter is estimated with two methods.
Guerrero's (1993) method yields a lambda which minimizes the coefficient of variation for subseries of x.
For 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.
BoxCoxLambda(x, method = c("guerrero", "loglik"), lower = -1, upper = 2)x |
a numeric vector or time series |
method |
method to be used in calculating lambda. Can be either "guerrero" (default) or "loglik". |
lower |
lower limit for possible lambda values, default is -1. |
upper |
upper limit for possible lambda values, default is 2. |
a number indicating the Box-Cox transformation parameter.
This function was previously published as BoxCox.lambda() in the forecast package and has been integrated here without logical changes.
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.
lambda <- BoxCoxLambda(AirPassengers, lower=0)
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