StatTimeSerAnalysis.BoxCox Method

procedure BoxCox(const U: TVec; const Y: TVec; const Lambda: Double);

Box-Cox transformation.

#	Name	Description
1	U	Time series.
2	Y	Transformed time series. Size of Y is adjusted automatically.
3	Lambda	Box-Cox transformation lambda value. An exception is raised if Lambda < 0 .

Result: stored in self (calling object)

Remarks:

Performs Box-Cox transformation on time series. The Box-Cox transformation is defined by the following equation:

f_\lambda (U_t) = \begin{cases} \lambda ^{-1} (U_t ^\lambda- 1) & U_t \geq 0, \lambda > 0 \\ \ln U_t & U_t > 0 , \lambda = 0 \end{cases}

See Also: StatTimeSerAnalysis.BoxCoxInv