Re:Forecasting in Python with Prophet
by wenc on Friday February 22, 2019 @02:27PM
(#19228315)
I believe as long as the transformation function is invertible (no information is lost), it ought to be a valid approach. The Box-Cox function as far as I can tell is invertible.
If a transformation f has the property (f^-1 o f)(x) = x then (f^-1 o g o f)(x) should be valid -- though how to rigorously demonstrate this in all cases evades me for now. (there are some conditions that need to be satisfied)
Rob Hyndman, the author of the "forecast" package in R, also thinks it's ok (slide 17 [1])
If a transformation f has the property (f^-1 o f)(x) = x then (f^-1 o g o f)(x) should be valid -- though how to rigorously demonstrate this in all cases evades me for now. (there are some conditions that need to be satisfied)
Rob Hyndman, the author of the "forecast" package in R, also thinks it's ok (slide 17 [1])
[1] https://robjhyndman.com/talks/RevolutionR/7-Transformations....