Have you read the BoxCox paper? It has the theory in there for dealing with an offset parameter (though I don't know of any existing functions that help in estimating both lambdas at the same time). Though another important point (in the paper as well) is that the lambda values used should be based on sound science, not just what fits best.
-- Gregory (Greg) L. Snow Ph.D. Statistical Data Center Intermountain Healthcare greg.s...@imail.org 801.408.8111 > -----Original Message----- > From: r-help-boun...@r-project.org [mailto:r-help-boun...@r- > project.org] On Behalf Of Holger Steinmetz > Sent: Sunday, May 16, 2010 6:22 AM > To: r-help@r-project.org > Subject: [R] Box-Cox Transformation: Drastic differences when varying > added constants > > > Dear experts, > > I tried to learn about Box-Cox-transformation but found the following > thing: > > When I had to add a constant to make all values of the original > variable > positive, I found that > the lambda estimates (box.cox.powers-function) differed dramatically > depending on the specific constant chosen. > > In addition, the correlation between the transformed variable and the > original were not 1 (as I think it should be to use the transformed > variable > meaningfully) but much lower. > > With higher added values (and a right skewed variable) the lambda > estimate > was even negative and the correlation between the transformed variable > and > the original varible was -.91!!? > > I guess that is something fundmental missing in my current thinking > about > box-cox... > > Best, > Holger > > > P.S. Here is what i did: > > # Creating of a skewed variable X (mixture of two normals) > x1 = rnorm(120,0,.5) > x2 = rnorm(40,2.5,2) > X = c(x1,x2) > > # Adding a small constant > Xnew1 = X +abs(min(X))+ .1 > box.cox.powers(Xnew1) > Xtrans1 = Xnew1^.2682 #(the value of the lambda estimate) > > # Adding a larger constant > Xnew2 = X +abs(min(X)) + 1 > box.cox.powers(Xnew2) > Xtrans2 = Xnew2^-.2543 #(the value of the lambda estimate) > > #Plotting it all > par(mfrow=c(3,2)) > hist(X) > qqnorm(X) > qqline(X,lty=2) > hist(Xtrans1) > qqnorm(Xtrans1) > qqline(Xtrans1,lty=2) > hist(Xtrans2) > qqnorm(Xtrans2) > qqline(Xtrans2,lty=2) > > #correlation among original and transformed variables > round(cor(cbind(X,Xtrans1,Xtrans2)),2) > -- > View this message in context: http://r.789695.n4.nabble.com/Box-Cox- > Transformation-Drastic-differences-when-varying-added-constants- > tp2218490p2218490.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting- > guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
