Use the Part parameter called NOTE SHIFT. You cannot use the Keyboard "Transpose" and "Octave" buttons because they change the Keyboard, you want to change an individual Part... which is the Tone Generator.

Press [EDIT]
Press [PART SELECT 1-4] to select the Part you want to edit and view its parameters
Press [F4] TONE
Press [SF1] TUNE
Set the NOTE SHIFT for each Part as you desire. Each increment is a semitone, so -/+12 is an octave.
Press [STORE] to update your Performance.

Note - If you want to change tuning more than +/- 2 octave shift, you can do that by editing the Voice. You can edit a Voice +/- 4 octaves. (then you can still shift the tuning an additional +/- 2 Octaves in Performance mode as BM described).

Edit the Voice by changing the course tune of each of the voice elements. Note you have to edit all of the Voice elements. its similar to editing a Performance, 12 = 1 octave. save as User voice and use this in your Performance.

As BM noted, and you may have already learned - if you use the transpose or octave buttons you will shift all of the voices (not just one) - and you will also move the split point as well.