whitening {micss}R Documentation

Whitening

Description

Eliminates the autocorrelation of a variable using an AR model.

Usage

whitening(y, kmax = NULL)

Arguments

y

A numeric vector. Variable to be whiten.

kmax

Maximum lag to be used for the long-run estimation of the variance. If not specified uses [12*(t/100)^(1/4)].

Details

Selects the model using the Bayes Information Criterium.

Value

Examples

whitening(rnorm(100))

[Package micss version 0.2.0 Index]