[R] How to Remove Autocorrelation from Simple Moving Average time series

[jim holtman]

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,
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> I am trying to remove autocorrelation from Simple Moving Average time series. I know that this can be done by using seasonal ARIMA like,
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>            library(TTR)
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>            data <- rnorm(252)
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>            n=21
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>            sma_data=SMA(data,n)
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>            sma_data=sma_data[-1:-n]
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>            acf(sma_data,length(sma_data))
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>            arima=arima(sma_data,c(0,0,0),seasonal = list(order = c(0, 0,n)));tsdiag(arima,100);arima$aic;
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> But is there any easy way that we can do in excel?? (Like differencing, dummy variable approach etc)
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> Thanks and Regards,
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> 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/>
>
>
>
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-- 
Jim Holtman
Cincinnati, OH
+1 513 646 9390

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