# Derivation of Box-Cox and Yeo-Johnson Log-Likelihood Functions

The scipy documention lists expressions for the Log-likelihood functions for the Box-Cox and Yeo-Johnson transformations here and here. I'm looking for a source that explains how one arrives at these expressions. I would like to experiment with my own transformations, and am therefore keen to understand how one goes from a data transformation to a Log-likelihood function.

Box-Cox Transformation: Parametric family of transformations $$y\mapsto y^{(\lambda) }$$ defined by

\begin{align}y^{(\lambda)} &:=\begin{cases}\frac{y^\lambda-1}{\lambda}~~&\lambda \ne 0\\ \ln y~~&\lambda =0\end{cases}\tag{1.I}\\y^{(\lambda)} &:=\begin{cases}\frac{(y+\lambda_2)^{\lambda_1}-1}{\lambda_1}~~&\lambda_1 \ne 0\\ \ln( y+\lambda_2)~~&\lambda_1=0;\end{cases}\tag{1.II}\end{align}

the former holds for $$y>0$$ and the latter for $$y>-\lambda_2.$$

Now $$\mathbf y^{(\lambda) }\sim\mathcal N(\mathbf X\boldsymbol\beta, \sigma^2\mathbf I).$$ Let $$\boldsymbol\theta:=(\lambda, \beta, \sigma^2).$$ Therefore, for fixed $$\lambda,$$ \begin{align}\mathcal L(\boldsymbol\theta|\mathbf y, \mathbf X) &=\frac{\exp{\left[-\frac{\left(\mathbf y^{(\lambda)}-\mathbf X\boldsymbol\beta\right)^\mathsf T\left(\mathbf y^{(\lambda)}-\mathbf X\boldsymbol\beta\right)}{2\sigma^2}\right]}}{(2\pi\sigma^2)^{n/2}}~\mathcal J(\lambda;\mathbf y)\tag{2.I}\\\implies \ln \mathcal L_\max&=C -\frac n2\ln \hat{\sigma}^2+ \ln \mathcal J,\tag {2.II}\end{align}

where $$\mathcal J:= \prod \left|\frac{\mathrm d}{\mathrm dy_i}y_i^{(\lambda)}\right|:$$ for $$\mathrm{ (1.I)}, ~\ln \mathcal J= (\lambda-1)\sum\ln y_i$$ and for $$\mathrm{(1.II) }~\ln \mathcal J = (\lambda_1-1)\sum\ln( y_i+\lambda_2) ;~\hat{\sigma}^2= \frac{{\mathbf y^{(\lambda)}}^\mathsf T\left[\mathbf I-\mathbf X\left(\mathbf X^\mathsf T\mathbf X\right) ^{-}\mathbf X\right]\mathbf y^{(\lambda)}}{n}.$$

Yeo-Johnson Transformation: $$y\mapsto \psi(\lambda, y)$$ as

\begin{align}\psi(y,\lambda)&:= \begin{cases}\frac{(y+1)^\lambda-1}{\lambda}~~&(y\geq 0,~\lambda \ne 0) \\\ln(y+1)~& (y\geq 0,~\lambda = 0) \\ -\frac{(-y+1)^{2-\lambda}-1}{2-\lambda}~~&(y< 0,~\lambda \ne 2)\\ \ln(-y+1) ~& (y< 0,~\lambda = 2)\end{cases}.\tag 3\end{align}

By assumption, the transformed variables $$\{\psi(\lambda,y_i)\}$$ are normally distributed with mean, say, $$\mu$$ and variance $$\sigma^2.$$ Therefore, akin to $$(2) ,$$ $$\ln \mathcal L= -\frac{ n}{2 }\ln{2\pi} -\frac{n}{2}\ln \sigma^2-\frac{ 1}{2\sigma^2}\sum(\psi(\lambda, y_i) -\mu)^2+(\lambda-1) \sum\operatorname{sgn}(y_i) \ln(|y_i|+1). \tag 4$$ The corresponding profile loglikelihood would then be maximised using the MLE of $$\mu, ~\sigma^2$$ which are routine procedures away to compute in same way as above.

## References:

$$\rm [I]$$ An Analysis of Transformations, G. E. P. Box, D. R. Cox, Journal of the Royal Statistical Society. Series B (Methodological) $$26,$$ no. $$2 ~(1964): 211–52;$$ pp. $$214-216.$$

$$\rm[II]$$ A New Family of Power Transformations to Improve Normality or Symmetry, In-Kwon Yeo, Richard A. Johnson, Biometrika $$87,$$ no. $$4 ~(2000): 954–59;$$ pp. $$956-958.$$

• Would you happen to have the expression for $\log{\mathcal{L}_max}$ for the Yeo-Johnson transformation? Thanks. Sep 30 at 13:20
• Dear @Anthony, while I have not a ready expression for this, but the point is it can be computed exactly how it was done in Box-Cox; you need $\hat \mu(\lambda), ~\hat\sigma^2(\lambda)$ for that. And you can easily compute that for a fixed $\lambda.$ Sep 30 at 13:45