An array range Range The range holding the data lag to calculate the auto-correlation for. Public Function AutoCor(dataRange As Range, Optional lag As Variant, Optional diff As Variant) As to calculate the auto-correlation of a series of data. The code is below but the add-in won’t be updated until I’ve tracked through the changes for all the other functions. I’ve now amended the AutoCor function to use the simplified formula. X(t2) = the value of the function at time 2, Where X(t1) = the value of the function at time 1, without the simplification of the auto-correlation only depending on the lag.Īuto-covariance = E I’d been calculating the correlation as if the mean and variance weren’t stationary i.e. In my Excel add-in I’ve inadvertently been using a different formula to calculate auto-correlation than that used by everyone else.
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