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autocorrelation function



 
 
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  #1  
Old April 11th 05, 11:23 AM
MOO
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Default autocorrelation function

Hi

Does anyone know how to calculate an autocorrelation function in Excel?!

Thanks!
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  #2  
Old April 11th 05, 12:54 PM
Jerry W. Lewis
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If your data is in A1:A10, then =CORREL(A1:A9,A2:A10) is the lag 1
autocorrelation.

Jerry

MOO wrote:

> Hi
>
> Does anyone know how to calculate an autocorrelation function in Excel?!
>
> Thanks!


  #3  
Old April 11th 05, 02:39 PM
MOO
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Thanks Jerry.

To calculate higher lags can you just move the second range downwards, eg
lag 2 =CORREL(A1:A9,A3:A11) ?



"Jerry W. Lewis" wrote:

> If your data is in A1:A10, then =CORREL(A1:A9,A2:A10) is the lag 1
> autocorrelation.
>
> Jerry
>
> MOO wrote:
>
> > Hi
> >
> > Does anyone know how to calculate an autocorrelation function in Excel?!
> >
> > Thanks!

>
>

  #4  
Old April 12th 05, 01:28 PM
Jerry W. Lewis
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Yes, provided that A11 is empty. Otherwise use =CORREL(A1:A8,A3:A10).
Note that the two offset arrays must be the same size.

Jerry

MOO wrote:

> Thanks Jerry.
>
> To calculate higher lags can you just move the second range downwards, eg
> lag 2 =CORREL(A1:A9,A3:A11) ?
>
>
>
> "Jerry W. Lewis" wrote:
>
>
>>If your data is in A1:A10, then =CORREL(A1:A9,A2:A10) is the lag 1
>>autocorrelation.
>>
>>Jerry
>>
>>MOO wrote:
>>
>>
>>>Hi
>>>
>>>Does anyone know how to calculate an autocorrelation function in Excel?!
>>>
>>>Thanks!
>>>

>>


 




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