ExcelBanter - autocorrelation function

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MOO

autocorrelation function

Hi

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

Thanks!

Jerry W. Lewis

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!

MOO

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!

Jerry W. Lewis

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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