I am not an expert in statistics, but I would like to work on a SARIMAX model representing power consumption. The exogeneous variable would be the temperature, but for now I found here I might need to do some cross-correlation study to go further.
It is also explained that in order to work on these correlated series I would need to "whiten" the temperature series. I did it by finding a SARIMA(0,1,1)(0,1,1) model for the series and collecting the residuals. As explained there, the goal is to now filter my power series with the coefficients found for the SARIMA model of the temperature series. My problem is, on this webpage there is only an example for an ARIMA(1,1,0) model. It leads to - with B being the backshift operator :
(1 - 0.7445B)(1 - B)(x_t - μ) = w_t.
result = filter(y, filter = c(1,-1.7445,.7445), sides =1)
Thing is with my SARIMA model, I obtain something along :
x_t = (1 - a)(1 - b*B^144)w_t
So I would like to know how I can make the
filterfunction work, or how I can input my coefficients into the
Arima one since I didn't really understand what was explained in this topic.
Thanks in advance,