Thanks, I wasn't thinking real clearly when I pressed 'send'. All figured out now. -A
-----Original Message----- From: Wensui Liu [mailto:[EMAIL PROTECTED] Sent: Monday, February 26, 2007 10:15 AM To: Andy Bunn Cc: r-help@stat.math.ethz.ch Subject: Re: [R] Partial whitening of time series? andy, if your model is Xt = 0.5 * Xt-1 + e, then it should have Xt = 0.1 * Xt-1 + 0.4 * Xt-1 + e (Xt - 0.1*Xt-1) = 0.4 * Xt-1 + e so what you need to do is to substract part of lag from your series. it is just my $0.02. On 2/26/07, Andy Bunn <[EMAIL PROTECTED]> wrote: > I have a time series with a one year lag, ar=0.5. The series has some > interesting events that disappear when the series is whitened (i.e., > fitting an AR process and looking at the residuals). I'd like to remove > the autocorrelation in stages to see the effect on the time series. Is > there a way to specify the autocorrelation term while fitting an AR > process? > > For instance, given the following: > > x <- arima.sim(model = list(order = c(1,0,0), ar = 0.5), n = 500, > sd=0.25) > > Can I filter x in a way that the autocorrelation at lag one is 0.4, then > 0.3, 0.2, 0.1, until I get to a clean series equivalent to: > > y <- arima(x, order = c(1,0,0))$resid > > Thanks in advance, > Andy > > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > -- WenSui Liu A lousy statistician who happens to know a little programming (http://spaces.msn.com/statcompute/blog) ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.