FunctionBoxCoxTransform

Bitcoin / U.S. dollarBitstamp

描述

⋅ Oct 13, 2021 9:45 AM

Library "FunctionBoxCoxTransform"
Methods to compute the Box-Cox Transformer.

regular(sample, lambda) Regular transform.
Parameters:
sample: float array, sample data values.
lambda: float, scaling factor.
Returns: float array.

inverse(sample, lambda) Regular transform.
Parameters:
sample: float array, sample data values.
lambda: float, scaling factor.
Returns: float array.

glikar

⋅ Oct 13, 2021 7:50 PM

Interesting, I've been searching for a way to normalize price. But I am a little shocked in that all the chart information is lost excepting periodicity.

RicardoSantos

⋅ Oct 13, 2021 9:46 AM

further reading:

statology.org/box-cox-transformation-excel/
geeksforgeeks.org/box-cox-transformation-using-python/
github.com/business-science/timetk/blob/master/R/vec-box_cox.R
frost-lee.github.io/box-cox-linear-model/
otexts.com/fpp2/transformations.html