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autocorrelation function

On Microsoft » Microsoft Excel

1,418 words with 3 Comments; publish: Thu, 22 May 2008 21:44:00 GMT; (30631.25, « »)

Hi

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

Thanks!

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  • 3 Comments
    • 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!

      #1; Thu, 22 May 2008 21:45:00 GMT
    • 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!

      >

      #2; Thu, 22 May 2008 21:46:00 GMT
    • 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!

      >>

      #3; Thu, 22 May 2008 21:47:00 GMT