[R] Whitening Time Series

stephen sefick ssefick at gmail.com
Mon Feb 16 19:31:01 CET 2009


if you want to whiten the series why not just
new series <- rnorm(num.obs)+series

On Mon, Feb 16, 2009 at 12:25 PM, Pele <drdionc at yahoo.com> wrote:
>
> Hi R users,
>
> I am doing cross correlation analysis on  2 time series (call them y-series
> and x-series) where I need the use the model developed on the x-series to
> prewhiten the yseries..  Can someone point me to a function/filter in R that
> would allow me to do that?
>
> Thanks in advance for any help!
> --
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-- 
Stephen Sefick

Let's not spend our time and resources thinking about things that are
so little or so large that all they really do for us is puff us up and
make us feel like gods.  We are mammals, and have not exhausted the
annoying little problems of being mammals.

								-K. Mullis



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