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

From: Dieter Menne <dieter.menne_at_menne-biomed.de>
Date: Thu, 15 May 2008 15:39:46 +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.
> If it's useful I can send my db.
>
> x <- # autocorrelated series
> new1<-cumsum(x)
> new2<-diff(new1,lag=1,differences = 1)
> acf(new2) # remains autocorrelated
>

This might come close to what your want

ar = arima(lh, order = c(1,0,0))
plot(ar$residuals)

Dieter



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