TSPred (version 5.1)

BCT: Box Cox Transformation

Description

The BCT() function returns a transformation of the provided time series using a Box-Cox transformation. BCT.rev() reverses the transformation. Wrapper functions for BoxCox and InvBoxCox of the forecast package, respectively.

Usage

BCT(x, lambda = NULL, ...)
BCT.rev(x, lambda, ...)

Arguments

x

A numeric vector or univariate time series of class ts.

lambda

Box-Cox transformation parameter. If NULL, lambda is selected using BoxCox.lambda of the forecast package.

...

Additional arguments passed to the BoxCox.lambda function for BCT(), and to the InvBoxCox function for BCT.rev().

Value

A vector of the same length as x containing the transformed values.

Details

If lambda is not 0, the Box-Cox transformation is given by $$f_\lambda(x) =\frac{x^\lambda - 1}{\lambda}$$ If \(\lambda=0\), the Box-Cox transformation is given by $$f_0(x)=\log(x)$$.

References

Box, G. E. P. and Cox, D. R. (1964) An analysis of transformations. JRSS B 26 211--246.

See Also

DIF,detrend, MAS, LT, PCT

Examples

# NOT RUN {
data(CATS)
BCT(CATS[,1])

# }