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2010 Aug 30
1
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 app...