is the univariate time series data (a one dimensional array).
[in]
N
is the number of observations in X.
[in]
retTYpe
is a number that determines the type of return value: 1 (or missing)=C-log-log , 2=inverse C-log-log.
Remarks
The complementary log log link function is commonly used for parameters that lie in the unit interval.
The complementary log log link/transformation is defined as follows: \[ y=\textit{CLogLog}(x)=\ln\left( -\ln \left ( 1-x \right) \right) \] And \[x=\textit{CLogLog}^{-1}(y)=1 - e^{-e^{y}} \] Where:
\(x_{t}\) is the value of the input time series at time \(t\)
\(y_{t}\) is the transformed complementary log-log value at time \(t\)
\(\textit{ClogLog}^{-1}(y)\) is the inverse complementary log log link function
\(\left(x_t +\alpha \right) \gt 0\) for all t values
The BOXCOX function accepts a single value or an array of values for X.
The shift parameter must be large enough to make all the values of X positive.
Requirements
Header
SFSDK.H
Library
SFSDK.LIB
DLL
SFSDK.DLL
Examples
Namespace:
NumXLAPI
Class:
SFSDK
Scope:
Public
Lifetime:
Static
int NDK_CLOGLOG
(
double[]
pData,
UIntPtr
nSize,
short
argRetType
)
Computes the complementary log-log transformation, including its inverse.
is the univariate time series data (a one dimensional array).
[in]
nSize
is the number of observations in pData.
[in]
argRetType
is a number that determines the type of return value: 1 (or missing)=C-log-log , 2=inverse C-log-log.
Remarks
The complementary log log link function is commonly used for parameters that lie in the unit interval.
The complementary log log link/transformation is defined as follows: \[ y=\textit{CLogLog}(x)=\ln\left( -\ln \left ( 1-x \right) \right) \] And \[x=\textit{CLogLog}^{-1}(y)=1 - e^{-e^{y}} \] Where:
\(x_{t}\) is the value of the input time series at time \(t\)
\(y_{t}\) is the transformed complementary log-log value at time \(t\)
\(\textit{ClogLog}^{-1}(y)\) is the inverse complementary log log link function
\(\left(x_t +\alpha \right) \gt 0\) for all t values
The BOXCOX function accepts a single value or an array of values for X.
The shift parameter must be large enough to make all the values of X positive.
Exceptions
Exception Type
Condition
None
N/A
Requirements
Namespace
NumXLAPI
Class
SFSDK
Scope
Public
Lifetime
Static
Package
NumXLAPI.DLL
Examples
References
* Hamilton, J .D.; Time Series Analysis , Princeton University Press (1994), ISBN 0-691-04289-6
