autocorrelation function (ACF)

R

Rado Lavrih

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
 
M

Mike Middleton

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. <
Click to expand...

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
 
J

Jerry W. Lewis

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
 
R

Rado Lavrih

Thanks Jerry! Works fine!

Bye


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
Click to expand...
 
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