FitAR: bxcx – R documentation

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bxcx

Box-Cox Transformation and its Inverse

Description

Box-Cox or power transformation or its inverse. For lambda!=0, the Box-Cox transformation of x is (x^lambda-1)/lambda, whereas the regular power transformation is simply x^lambda. When lambda=0, it is log in both cases. The inverse of the Box-Cox and the power transform can also be obtained.

Usage

bxcx(x, lambda, InverseQ = FALSE, type = "BoxCox")

Arguments

`x`	a vector or time series
`lambda`	power transformation parameter
`InverseQ`	if TRUE, the inverse transformation is done
`type`	either "BoxCox" or "power"

Value

A vector or time series of the transformed data

Author(s)

A.I. McLeod

References

Box, G. E. P. and Cox, D. R. (1964) An analysis of transformations. Journal of Royal Statistical Society, Series B, vol. 26, pp. 211-246.

Examples

#lambda=0.5
z<-AirPassengers; lambda<-0.5
y<-bxcx(z, lambda)
z2<-bxcx(y, lambda, InverseQ=TRUE)
sum(abs(z2-z))
#
z<-AirPassengers; lambda<-0.0
y<-bxcx(z, lambda)
z2<-bxcx(y, lambda, InverseQ=TRUE)
sum(abs(z2-z))

FitAR

Subset AR Model Fitting

v1.94

GPL (>= 2)

Authors

A.I. McLeod, Ying Zhang and Changjiang Xu

Initial release

2013-03-15