BoxCox {forecast}R Documentation

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)

Arguments

x a numeric vector or time series
lambda transformation parameter

Details

The Box-Cox transformation is given by

f(x;lambda) = (x^lambda - 1)/lambda

if lambda is not equal to 0. For lambda=0,

f(x;0) = log(x)

.

Value

a numeric vector of the same length as x.

Author(s)

Rob J Hyndman

References

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

Examples

lynx.sqrt <- BoxCox(lynx,0.5)
lynx.fit <- ar(lynx.sqrt)
plot(forecast(lynx.fit,h=20),lambda=0.5)

[Package forecast version 1.23 Index]