Box-Cox transform
Purpose
Description
Macro Synopsis
Modules
Related Functions
References
Purpose
Box-Cox transform
Description
"Box-Cox transform" is the comprehensive name of a class of variance-stabilizing
transforms.
According to the formula
a Box-Cox-diagram is calculated.
The only parameter of "Box-Cox transform" is
- theta ( in the above formula),
which can be estimated according to
where is the expectation of x and c is the power of that corresponds to the -dependent variance of x. The use of this yields a constant variance of y.
Macro Synopsis
y = BoxCoxTrafo(x,theta);
signal x,y;
float theta;
Modules
Statistics
Related Functions
Detrended fluctuation analysis (DFA), Exponential regression,
Linear regression, Long term correlation analysis (LTCA),
Multilinear regression, Power regression,
Principal component analysis (PCA), R/S statistics, Remove DC,
Remove trend.
References
Box/Cox [19], Schlittgen/Streitberg [14]