autocorrelation function (ACF)

[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

 

[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. <

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

 

[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

 

[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

 

[Rado Lavrih]

P.S.: Jerry is there such a function for PACF too?

Regards

Rado