![]() Analysis of Financial Time Series John Wiley & SONS 2nd edition(Aug 30, 2005), ISBN: 40. James Douglas Hamilton Time Series Analysis Princeton University Press 1st edition(Jan 11, 1994), ISBN: 691042896.Pollock Handbook of Time Series Analysis, Signal Processing, and Dynamics Academic Press Har/Cdr edition(Nov 17, 1999), ISBN: 125609906. Wikipedia - Autocorrelation function (ACF).Method 1: The sample autocorrelation is computed as:$$\hat(0) \equiv 1.0$.The ACF values are bound between -1 and 1, inclusive.The lag order (k) must be less than the time series size, or an error value (#VALUE!) is returned.The time series may include missing values (e.g., #N/A) at either end.The time series is homogeneous or equally spaced.Method is the calculation method for estimating the autocorrelation function (0 = Sample Autocorrelation (Default), 1 = Periodogram-based estimate, 2 = Cross-correlation). If missing, the default lag order of zero (i.e., Lag=0) is assumed. K is the lag order (e.g., 0=no lag, 1=1st lag, etc.). Order is the time order in the data series (i.e., the first data point's corresponding date (earliest date = 1 (default), latest date = 0)).Īscending (the first data point corresponds to the earliest date) (default).ĭescending (the first data point corresponds to the latest date). ![]() ACF( X, Order, K, Method) X is the univariate time series data (a one-dimensional array of cells (e.g., rows or columns)).
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