How does the Box-Cox Transformation in Matlab work?
조회 수: 23 (최근 30일)
이전 댓글 표시
What is the explicitly Log-Likelihood Function (LLF) maximized?
Are the variance and mean values computed from the data?
댓글 수: 0
채택된 답변
Tushar Athawale
2016년 1월 19일
편집: Tushar Athawale
2016년 1월 19일
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
댓글 수: 0
추가 답변 (0개)
참고 항목
카테고리
Help Center 및 File Exchange에서 Time Series에 대해 자세히 알아보기
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!