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)

Value

a numeric vector of the same length as x.

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.

Author

Rob J Hyndman & Mitchell O'Hara-Wild

Details

The Box-Cox transformation (as given by Bickel & Doksum 1981) is given by $$f_\lambda(x) =(sign(x)|x|^\lambda - 1)/\lambda$$ if $\lambda\ne0$. For $\lambda=0$, $$f_0(x)=\log(x)$$.

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

Run this code


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

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