The Guerrero-Johnson Transformation

The Guerrero-Johnson transformation is defined as

\[  \mbox{GJ}(y;\lambda ) = \left\{  \begin{array}{l l} \frac{p^\lambda - 1}{\lambda } &  \mbox{if } \lambda \neq 0 \\ \log (p) &  \mbox{if } \lambda = 0 \end{array} \right.  \]

The normalized Guerrero-Johnson transformation is defined as (Atkinson, 1985, p. 145)

\[  \bm {z}_{\mbox{\tiny GJ}}(\lambda ; y) = \left\{  \begin{array}{l l} \frac{p^{\lambda } - 1}{\lambda G_{\mbox{\tiny GJ}}(\lambda )} &  \mbox{if } \lambda \neq 0 \\ \log (p) G(y(1-y)) &  \mbox{if } \lambda = 0 \end{array} \right.  \]

where $G_{\mbox{\tiny GJ}}(\lambda )= G(y^{\lambda -1}/(1-y)^{\lambda +1})$. When you select the Guerrero-Johnson transformation, a plot of $L(\lambda ;\bm {z}_{\mbox{\tiny GJ}})$ appears. You should choose a value close to the MLE value.