FitAR (version 1.94)

BoxCox.numeric: Box-Cox Analysis for a Time Series

Description

An AR(p) model is selected using AIC and then the best Box-Cox transformation is determined. Requires package FitAR.

Usage

"BoxCox"(object, interval = c(-1, 1), IIDQ = FALSE, ...)

Arguments

object

a vector of time series values

interval

interval to be searched

IIDQ

If true, IID is assumed, ie. p=0. If FALSE, AR(p) is fit with p determined using AIC.

...

optional arguments

Value

No value returned. Graphical output produced as side-effect. The plot shows relative likelihood funciton as well as the MLE and a confidence interval.

Details

For $lambda!=0$, the Box-Cox transformation is of x is $(x^lambda-1)/lambda$.

If the minimum data value is

References

Box, G. E. P. and Cox, D. R. (1964) An analysis of transformations. Journal of Royal Statistical Society, Series B, vol. 26, pp. 211-246.

See Also

BoxCox.FitAR, BoxCox.Arima, BoxCox.ts

Examples

## Not run: #takes a few seconds
# #annual sunspot series
# BoxCox(sunspot.year, IIDQ=FALSE)
# #
# #non-time series example, lengths of rivers
# BoxCox(rivers)
# ## End(Not run)