2
$\begingroup$

I'm trying to compare some data and see if there is a significant Pinteraction value between them. The data is highly skewed and thus I would like to use a transformation; a log transformation results in highly non-normal residuals, thus I am looking for a more appropriate transformation, if it exists. I came upon the Box-Cox transformation, and I'm trying to see if it will work. However, for every dataset I have a unique $\lambda$, and thus a different equation of the form

Box-Cox

using the former, because my $\lambda$ value was found to be not zero on all occasions.

My question, therefore, is if I can statistically compare two data sets transformed with different lambda values, or if there is a way to find a lambda value which is the maximum likelihood for both data sets. Or if I've made a horrible mistake.


This is how I found my lambda value, just to make sure I did not make a mistake.

Assume data sets Data1 and Data2, where Data1 is the response variable.

library('MASS')

    #Initial regression to get regression object
LM <- lm(Data1 ~ Data2)
LM.b <- boxcox(LM)
    #x = lambda values, y = likelihood values
lam <- LM.b$x
lik <- LM.b$y
lam.lik <- cbind(lam,lik)
    #Sort by likelihood to get maximum likelihood lambda 
lam.lik.sort <- lam.lik[order(-lik),]
LAM <- lam.lik.sort[1,1]

    #Perform regression on transformed values
Data1.trans <- ((Data1^LAM) - 1)/LAM
LM.trans <- lm(Data1.trans ~ Data2)
shapiro.test(LM.trans$residuals)   
$\endgroup$
2
$\begingroup$

You didn't tell us how you "want to compare" the different datasets. But, generally the answer is that for most meaningful analysis, you need the same $\lambda$ value for all datasets. The reason is that the Box-Cox transformation not only changes the scale of the data, it also changes the unit of measurement. For a related discussion see Skewness transformation for one but not the other variable?.

So, how to find a common value? If the estimated values you have are not too different, simply choose some convenient common value. Mostly we do not use the estimated $\lambda$ directly, we choose some meaningful value close to it, like $\lambda=1/2$ (squareroot), $\lambda=1/3$ (cube root), $\lambda=-1$ (inverse) etc. If the estimated values are so different that this do not work, try to estimate a common value by combining the different datasets in a common model. Just use interactions to represent different models as one common model, see for instance Separate Models vs Flags in the same model

$\endgroup$
  • 1
    $\begingroup$ (+1) I think it's worth underlining that in their original paper Box and Cox -- while emphasising that many common transformations belong to a family -- in their two worked examples didn't use the estimated powers at all but regarded them as suggesting logarithm and reciprocal in particular. Further, there is plenty of experience that quite different transformations are about equally promising for many datasets: the choice should also be influenced by other considerations (e.g. limiting values or dimensional arguments). Small disclaimer: not Sir David Cox, and not a relative either. $\endgroup$ – Nick Cox Oct 30 '18 at 20:10

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.