On Mon, 7 Jun 2010, nuncio m wrote:
HI all.,
I have some univariate time series that need to be prewhitened. HOw this can
be performed in R.
That depends on what exactly you want to do for prewhtening. For example,
if you want to prewhiten using an AR(1) model, you could apply ar() and
then extract the residuals:
ar(x, order.max = 1, aic = FALSE, method = ..., demean = ...)$resid
and set the remaining arguments based on your preferences/needs. This can
also be used for multivariate series.
I am thinking of to fit an ARIMA model and substract this from the original
series.
Then you could use the residuals from arima()...
Best,
Z
Is this the correct way
THanks in advance
nuncio
--
Nuncio.M
Research Scientist
National Center for Antarctic and Ocean research
Head land Sada
Vasco da Gamma
Goa-403804
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