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BoxCoxLambda: Automatic Selection of Box Cox Transformation Parameter

Description

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.

Usage

BoxCoxLambda(x, method = c("guerrero", "loglik"), lower = -1, upper = 2)

Arguments

x
a numeric vector or time series
method
Choose method to be used in calculating lambda.
lower
Lower limit for possible lambda values.
upper
Upper limit for possible lambda values.

Value

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.

See Also

BoxCox

Examples

Run this code

lambda <- BoxCoxLambda(AirPassengers, lower=0)

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