How does the Box-Cox Transformation in Matlab work?

15 ビュー (過去 30 日間)
Anderson
Anderson 2016 年 1 月 17 日
編集済み: Tushar Athawale 2016 年 1 月 19 日
What is the explicitly Log-Likelihood Function (LLF) maximized?
Are the variance and mean values computed from the data?

採用された回答

Tushar Athawale
Tushar Athawale 2016 年 1 月 19 日
編集済み: Tushar Athawale 2016 年 1 月 19 日
Hi,
The log-likelihood function being maximized with respect to parameter λ for the Box-Cox transformation is following:
-(n/2)*log(σ(Y)^2)+(λ-1)*(∑log(y_i)), where Y represents the data transformed using the Box-Cox transformation and n represents the number of data points.
The equations for the Box-Cox transformation can be found in the following link: http://www.mathworks.com/help/finance/boxcox.html
You can also learn more about the implementation of the Box-Cox transformation in MATLAB by studying the code for 'boxcox.m':
>> edit boxcox.m

その他の回答 (0 件)

カテゴリ

Help Center および File ExchangeTime Series についてさらに検索

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by