topic Re: How does Box Cox parameters work? in SAS Forecasting and Econometrics

How does Box Cox parameters work?

jctran123 — Tue, 13 Jun 2017 13:42:54 GMT

Hi SAS Community,

I am working on a sales forecasting project and I noticed that when I choose Box Cox with a Box Cox parameter of -5, the MAPE improves significantly. Would any one happen to know why?

Thank you in advance,

Jessica

Re: How does Box Cox parameters work?

ballardw — Tue, 13 Jun 2017 20:07:20 GMT

Plot transformed data. Look at proc transreg if that isn't what you are currently using.

You'll like find it much smoother and with much less variability.

Possibly over smoothed?

Does that MAPE "improve" more as the parameter for the Box-Cox tranform gets further from 0?

Re: How does Box Cox parameters work?

jctran123 — Tue, 13 Jun 2017 20:16:28 GMT

Hello @ballardw,

Yes, the MAPE improves more as the Box Cox parameter becomes a negative number towards -5. It also improves as the parameter moves towards 5, but not as significantly. Please see attached for a screen shot of where I am looking at. Thanks for the suggestion. I have not used proc transreg. Where do I find that?

Jessica

Re: How does Box Cox parameters work?

ballardw — Tue, 13 Jun 2017 23:41:01 GMT

Proc Transreg is in the SAS/STAT package which would be available through the display manager, Enterprise Guide or SAS Studio. I don't know if it is accessible from the Forcast Server as I have never worked with that.

Proc Transreg actually performs the transformations so you can see what happens to your values. It includes plotting functions.

Re: How does Box Cox parameters work?

udo_sas — Wed, 14 Jun 2017 16:53:52 GMT

Hello -

You will find some details here:

http://support.sas.com/documentation/cdl/en/etsug/66840/HTML/default/viewer.htm#etsug_tffordet_sect008.htm

Thanks,

Udo