Box-Cox profile log-likelihood — shewhart_box

Computes the profile log-likelihood for the Box-Cox power parameter lambda, applied to a single positive numeric series (regression to a constant) or to the residuals of a linear model.

Usage

shewhart_box_cox(data, value = NULL, lambda_grid = seq(-2, 2, by = 0.05))

Arguments

data: A data frame, or a numeric vector. If a data frame, value must be supplied.
value: Tidy-eval column reference for the response (only when data is a data frame).
lambda_grid: Numeric vector of lambda values to evaluate. Default: a fine grid from -2 to 2.

Value

An object of class shewhart_box_cox with components profile (tibble of lambda vs. log-likelihood), lambda_hat (the maximiser), ci (95% CI). The object has its own print() method.

Details

Reports the lambda that maximises the profile likelihood and a 95% confidence interval based on the chi-square approximation to twice the log-likelihood drop (Box & Cox 1964, eq. 9).

References

Box, G. E. P., & Cox, D. R. (1964). An Analysis of Transformations. Journal of the Royal Statistical Society, Series B, 26(2), 211-252. doi:10.1111/j.2517-6161.1964.tb00553.x

Examples

set.seed(1)
bc <- shewhart_box_cox(rlnorm(200, meanlog = 0, sdlog = 0.5))
bc$lambda_hat   # should be near 0 (log-normal data)
#> [1] -0.15