R: Automatic Selection of Box Cox Transformation Parameter

BoxCoxLambda {DescTools} | R Documentation

## 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` | method to be used in calculating lambda. Can be either "guerrero" (default) or "loglik".
`lower` | lower limit for possible lambda values, default is -1.
`upper` | upper limit for possible lambda values, default is 2.

### Value

a number indicating the Box-Cox transformation parameter.

### Note

This function was previously published as `BoxCox.lambda()` in the forecast package and has been integrated here without logical changes.

### Author(s)

Leanne Chhay and Rob J Hyndman

### 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

    lambda <- BoxCoxLambda(AirPassengers, lower=0)

[Package DescTools version 0.99.38 Index]