Hi R experts,
I am trying to remove autocorrelation from Simple Moving Average time series. I
know that this can be done by using seasonal ARIMA like,
library(TTR)
data <- rnorm(252)
n=21
sma_data=SMA(data,n)
sma_data=sma_data[-1:-n]
acf(sma_data,length(sma_data))
arima=arima(sma_data,c(0,0,0),seasonal = list(order = c(0,
0,n)));tsdiag(arima,100);arima$aic;
But is there any easy way that we can do in excel?? (Like differencing, dummy
variable approach etc)
Thanks and Regards,
Ramesh Kallol | Amba Research
Ph +91 80 3980 8467 | Mob +91 9019720734
Bangalore * Colombo * London * New York * San José * Singapore *
www.ambaresearch.com <http://www.ambaresearch.com/>
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