noise in time series
David Riano <driano <at> ucdavis.edu> writes:
I have two time series. Both measure the same thing and I would like to determine which one is noisier. Would it be a good measure of the noise in each time series the absolute lag difference? Is this a good measure? Any other measure I could use?
You could fit an arima model and compare the residuals. It should be could enough to get an estimate, even if I see some theoretical problems in "measure the same thing". Dieter