Hi! 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? Thanks for help :) David Riano Center for Spatial Technologies and Remote Sensing (CSTARS) University of California 250-N, The Barn One Shields Avenue Davis, CA 95616-8527 USA 1-(517) 629-5499 cstars.ucdavis.edu/~driano/index.html cstars.ucdavis.edu
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