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A Fast, High-Precision Implementation of the Univariate One-Parameter Box-Cox Transformation Using the Golden Section Search in SAS/IML®

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A Fast, High-Precision Implementation of the Univariate One-Parameter Box-Cox Transformation Using the Golden Section Search in SAS/IML®

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Abstract

The one-parameter Box-Cox transformation is implemented using the golden section search algorithm in SAS/IML®. This code quickly produces the optimal value of the transformation to the user-specified parameter. It is presented in the form of a macro which has been tested using The SAS System for Windows®, releases 6.12 and 8.2. Changes to the SAS/IML® code are also presented for Schlesselman’s data-independent version of the Box-Cox transformation.

Page Last Revised - August 28, 2024
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