BoxCox.ts: Box-Cox Analysis for a Time Series
Description
The time series is converted to a vector and BoxCox.numeric is used.
Usage
"BoxCox"(object, interval = c(-1, 1), ...)
Arguments
object
a vector of time series values
interval
interval to be searched
Value
No value returned. Graphical output produced as side-effect.
The plot shows relative likelihood function as well as the MLE and a confidence interval.
Warning
It is important not to transform the data when fitting it with
AR since the optimal transformation would be found for the transformed
data -- not the original data. Normally this would not be a sensible thing
to do.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.
Examples
Run this code#
## Not run: #takes a few seconds
# BoxCox(sunspot.year)
# ## End(Not run)
Run the code above in your browser using DataLab