R: Automatic selection of Box Cox transformation parameter

BoxCox.lambda {forecast} | R Documentation

## Automatic selection of Box Cox transformation parameter

### Description

If `method=="guerrero"`, Guerrero's (1993) method is used, where lambda minimizes the coefficient of variation for subseries of `x`.

If `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

    BoxCox.lambda(x, method=c("guerrero","loglik"), lower=-1, upper=2)

### Arguments

`x` | a numeric vector or time series
`method` | Choose method to be used in calculating lambda.
`lower` | Lower limit for possible lambda values.
`upper` | Upper limit for possible lambda values.

### Value

a number indicating the Box-Cox transformation parameter.

### 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 <- BoxCox.lambda(AirPassengers,lower=0)
    air.fit <- Arima(AirPassengers, order=c(0,1,1),
                     seasonal=list(order=c(0,1,1),period=12), lambda=lambda)
    plot(forecast(air.fit))

[Package forecast version 8.0 Index]