Re: [R] How to remove autocorrelation from a time series?

From: Ben Bolker <bolker_at_ufl.edu>
Date: Thu, 15 May 2008 15:37:05 +0000 (UTC)

Claudia D'Aniello <kikki_80 <at> yahoo.it> writes:

>
> Dear R users,
> someone knows how to remove auto-correlation from a frequencies time series?
> I've tried by differencing (lag 1) the cumulative series (in order to have
only positive numbers) , but I
> can't remove all auto-correlation.

  Take the residuals from an ARIMA fit? (see arima(), residuals() ) -- this won't be automatic, you'll have to figure out the appropriate order model to fit ...

  good luck

  Ben Bolker



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