autocorrelation function (ACF)
Hi! wonder if anybody has knowledge of Excel add in that performs autocorrelation function (ACF) and of the partial autocorrelation function (PACF). I need it for excel demonstration of Box Jenkinins Metholody for Arima models in forecasting. Thanks Rado |
Rado Lavrih -
wonder if anybody has knowledge of Excel add in that performs autocorrelation function (ACF) and of the partial autocorrelation function (PACF). I need it for excel demonstration of Box Jenkinins Metholody for Arima models in forecasting. < ACF is easy to implement with worksheet functions SUMPRODUCT and OFFSET, as shown in Chapter 18, Autocorrelation and Autoregression, of my book Data Analysis Using Microsoft Excel. If you do a Google search for "excel autocorrelation partial" (without the quotes), you'll get numerous links. - Mike www.mikemiddleton.com |
Do a Google search on Box Jenkins Excel. There are a few add-ins and an
academic article. =SUMPRODUCT(OFFSET(data,0,0,70-lag,1)-AVERAGE(data),OFFSET(data,lag,0,70-lag,1)-AVERAGE(data))/DEVSQ(data) implements the definition of autocorrelation preferred in Box & Jenkins. Jerry Rado Lavrih wrote: Hi! wonder if anybody has knowledge of Excel add in that performs autocorrelation function (ACF) and of the partial autocorrelation function (PACF). I need it for excel demonstration of Box Jenkinins Metholody for Arima models in forecasting. Thanks Rado |
Thanks Jerry! Works fine! Bye On Tue, 12 Jul 2005 21:14:37 -0400, "Jerry W. Lewis" wrote: Do a Google search on Box Jenkins Excel. There are a few add-ins and an academic article. =SUMPRODUCT(OFFSET(data,0,0,70-lag,1)-AVERAGE(data),OFFSET(data,lag,0,70-lag,1)-AVERAGE(data))/DEVSQ(data) implements the definition of autocorrelation preferred in Box & Jenkins. Jerry Rado Lavrih wrote: Hi! wonder if anybody has knowledge of Excel add in that performs autocorrelation function (ACF) and of the partial autocorrelation function (PACF). I need it for excel demonstration of Box Jenkinins Metholody for Arima models in forecasting. Thanks Rado |
P.S.: Jerry is there such a function for PACF too? Regards Rado |
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