whitening {micss}

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 Criteria.

Value

• e: Whiten variable.

• rho: Vector of autoregressive parameters.

• lag: number of lags used.

Examples

whitening(rnorm(100))