BoxCox() returns a transformation of the input variable using a Box-Cox transformation. InvBoxCox() reverses the transformation.

BoxCox(x, lambda)

InvBoxCox(x, lambda, biasadj = FALSE, fvar = NULL)

Arguments

x

a numeric vector or time series of class ts.

lambda

transformation parameter.

biasadj

Use adjusted back-transformed mean for Box-Cox transformations. If TRUE, point forecasts and fitted values are mean forecast. Otherwise, these points can be considered the median of the forecast densities.

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.

Value

a numeric vector of the same length as x.

Details

The Box-Cox transformation is given by $$f_\lambda(x) =\frac{x^\lambda - 1}{\lambda}$$ 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.

See also

BoxCox.lambda

Examples

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