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 tim
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
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 sp
