[R] noise in time series

[Dieter Menne]

David Riano <driano <at> ucdavis.edu> writes:

> I have two time series. Both measure the same thing and I would like 
> to determine which one is noisier.
> Would it be a good measure of the noise in each time series the 
> absolute lag difference?
> Is this a good measure? Any other measure I could use?

You could fit an arima model and compare the residuals. It should
be could enough to get an estimate, even if I see some theoretical
problems in "measure the same thing".

Dieter