R help - Aug 2010 - How to Remove Autocorrelation from Simple Moving Average time series

Hi R experts,

 

I am trying to remove autocorrelation from Simple Moving Average time series. I
know that this can be done by using seasonal ARIMA like,

 

            library(TTR)

            data <- rnorm(252)

            n=21

            sma_data=SMA(data,n)

            sma_data=sma_data[-1:-n]

            acf(sma_data,length(sma_data))

            arima=arima(sma_data,c(0,0,0),seasonal = list(order = c(0,
0,n)));tsdiag(arima,100);arima$aic;

 

 

But is there any easy way that we can do in excel?? (Like differencing, dummy
variable approach etc)

 

 

Thanks and Regards,

Ramesh Kallol | Amba Research

Ph +91 80 3980 8467 | Mob +91 9019720734

Bangalore * Colombo * London * New York * San José * Singapore *
www.ambaresearch.com <http://www.ambaresearch.com/>

 

This e-mail may contain confidential and/or privileged i...{{dropped:13}}

Have Excel call your R script.

On Mon, Aug 30, 2010 at 10:56 AM, Ramesh Kallol
<rameshka at ambaresearch.com> wrote:
> Hi R experts,
>
>
>
> I am trying to remove autocorrelation from Simple Moving Average time
series. I know that this can be done by using seasonal ARIMA like,
>
>
>
> ? ? ? ? ? ?library(TTR)
>
> ? ? ? ? ? ?data <- rnorm(252)
>
> ? ? ? ? ? ?n=21
>
> ? ? ? ? ? ?sma_data=SMA(data,n)
>
> ? ? ? ? ? ?sma_data=sma_data[-1:-n]
>
> ? ? ? ? ? ?acf(sma_data,length(sma_data))
>
> ? ? ? ? ? ?arima=arima(sma_data,c(0,0,0),seasonal = list(order = c(0,
0,n)));tsdiag(arima,100);arima$aic;
>
>
>
>
>
> But is there any easy way that we can do in excel?? (Like differencing,
dummy variable approach etc)
>
>
>
>
>
> Thanks and Regards,
>
> Ramesh Kallol | Amba Research
>
> Ph +91 80 3980 8467 | Mob +91 9019720734
>
> Bangalore * Colombo * London * New York * San Jos? * Singapore *
www.ambaresearch.com <http://www.ambaresearch.com/>
>
>
>
> This e-mail may contain confidential and/or privileged i...{{dropped:13}}
>
>
> ______________________________________________
> R-help at r-project.org 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.
>
>


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Cincinnati, OH
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