forecast: BoxCox – R documentation

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BoxCox

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(x;lambda)=sign(x)(|x|^lambda - 1)/lambda

if lambda is not equal to 0. For lambda=0,

f(x;0)=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.

Examples

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

forecast

Forecasting Functions for Time Series and Linear Models

v8.14

GPL-3

Authors

Rob Hyndman [aut, cre, cph] (<https://orcid.org/0000-0002-2140-5352>), George Athanasopoulos [aut], Christoph Bergmeir [aut] (<https://orcid.org/0000-0002-3665-9021>), Gabriel Caceres [aut], Leanne Chhay [aut], Mitchell O'Hara-Wild [aut] (<https://orcid.org/0000-0001-6729-7695>), Fotios Petropoulos [aut] (<https://orcid.org/0000-0003-3039-4955>), Slava Razbash [aut], Earo Wang [aut], Farah Yasmeen [aut] (<https://orcid.org/0000-0002-1479-5401>), R Core Team [ctb, cph], Ross Ihaka [ctb, cph], Daniel Reid [ctb], David Shaub [ctb], Yuan Tang [ctb] (<https://orcid.org/0000-0001-5243-233X>), Zhenyu Zhou [ctb]

Initial release