ACFCI - ACF Confidence Interval Function

Calculates the autocorrelation function's confidence interval limits (upper/lower).

Syntax

ACFCI(X, Order, K, Method, alpha, upper)
X
is the univariate time series data (a one-dimensional array of cells (e.g., rows or columns)).
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)).
Order Description
1 ascending (the first data point corresponds to the earliest date) (default)
0 descending (the first data point corresponds to the latest date)
K
is the lag order (e.g. k=0 (no lag), k=1 (1st lag), etc.). If missing, the default of k=1 is assumed.
Method
is the calculation method for estimating the autocorrelation (0= Sample Autocorrelation (Default), 1=Periodogram-based estimate , 2=Cross Correlation).
Value Method
0 Sample autocorrelation method.(default)
1 Periodogram-based estimate.
2 Cross-correlation method
alpha
is the statistical significance level. If missing, the default of 5% is assumed.
upper
If true, it returns the upper confidence interval limit. Otherwise, it returns the lower limit.
Value Description
0 return lower limit
1 return upper limit

Remarks

  1. The time series is homogeneous or equally spaced.
  2. The time series may include missing values (e.g., #N/A) at either end.
  3. The lag order (k) must be less than the time series size, or an error value (#VALUE!) is returned.
  4. The ACFCI function calculates the confidence limits as: $$ \hat\rho_k - Z_{\alpha/2}\times \sigma_{\rho_k} \leq \rho_k \leq \hat\rho_k+ Z_{\alpha/2}\times \sigma_{\rho_k} $$ Where:
    • $\rho_k$ is the population autocorrelation function.
    • $\sigma_{\rho_k}$ is the standard error of the sample autocorrelation.
    • $\hat{\rho_{k}}$ is the sample autocorrelation function for lag k.
    • $Z\sim N(0,1)$
    • $P(\left|Z\right|\geq Z_{\alpha/2}) = \alpha$
  5. For the case in which the underlying population distribution is normal, the sample autocorrelation also has a normal distribution:

    $ \hat \rho_k \sim N(\rho_k,\sigma_{\rho_k}^2)$

    Where:
    • $\hat \rho_k $ is the sample autocorrelation for lag k.
    • $\rho_k $ is the population autocorrelation for lag k.
    • $\sigma_{\rho_k}$ is the standard error of the sample autocorrelation for lag k.
  6. Bartlett proved that the variance of the sample autocorrelation of a stationary normal stochastic process (i.e. independent, identically normal distributed errors) can be formulated as: $$ \sigma_{\rho_k}^2 = \frac{\sum_{j=-\infty}^{\infty}\rho_j^2+\rho_{j+k}\rho_{j-k}-4\rho_j\rho_k\rho_{i-k}+2\rho_j^2\rho_k^2}{T} $$
  7. Furthermore, the variance of the sample autocorrelation is reformulated: $$ \sigma_{\rho_k}^2 = \frac{1+\sum_{j=1}^{k-1}\hat\rho_j^2}{T} $$ Where:
    • $\sigma_{\rho_k}$ is the standard error of the sample autocorrelation for lag k.
    • $T$ is the sample data size.
    • $\hat\rho_j$ is the sample autocorrelation function for lag j.
    • $k$ is the lag order.

Examples

Example 1:

 
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A B
Date Data
1/1/2008 #N/A
1/2/2008 -1.28
1/3/2008 0.24
1/4/2008 1.28
1/5/2008 1.20
1/6/2008 1.73
1/7/2008 -2.18
1/8/2008 -0.23
1/9/2008 1.10
1/10/2008 -1.09
1/11/2008 -0.69
1/12/2008 -1.69
1/13/2008 -1.85
1/14/2008 -0.98
1/15/2008 -0.77
1/16/2008 -0.30
1/17/2008 -1.28
1/18/2008 0.24
1/19/2008 1.28
1/20/2008 1.20
1/21/2008 1.73
1/22/2008 -2.18
1/23/2008 -0.23
1/24/2008 1.10
1/25/2008 -1.09
1/26/2008 -0.69
1/27/2008 -1.69
1/28/2008 -1.85
1/29/2008 -0.98


Formula Description (Result)
=ACF(\$B\$2:\$B\$30,1,1) Autocorrelation of order 1 (0.235)
=ACFCI(\$B\$2:\$B\$30,1,1,5%,1) Upper confidence interval for ACF of order 1 (0.37)
=ACFCI(\$B\$2:\$B\$30,1,1,5%,0) lower confidence interval for ACF of order 2 (-0.37)

 

Files Examples

References

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