Autocorrelation in Excel

1. Jun 27, 2011

MichalXC

I have a set of 9,999 equi-spaced data points, and I would like to calculate the autocorrelations for ALL lags up to 5,000.

In Excel, I want to have this code:

=CORREL(B1:B9998,B2:B9999)
=CORREL(B1:B9997,B3:B9999)
=CORREL(B1:B9996,B4:B9999)
...
=CORREL(B1:B5000,B5000:B9999)

Unfortunately, the formula does not "translate" nicely when I extend it downwards.

Also I have Excel 2008 for Mac, which does not handle VB Macros.

Can anyone direct me? Or suggest a better way of doing it? I don't have MatLab, but I do have Mathematica.

2. Jun 27, 2011

gsal

Well, I am going to suggest Python, but only because you thought of Matlab, in the first place...which shows that you might be inclined to some scripting.

Actually, there is FreeMat which is an a-la-matlab application.

But also, there is Python with its numpy and scipy (scipy.stats) modules you can do anything you want and plot it right away with matplotlib.

...just a thought

3. Jun 27, 2011

I like Serena

Try:
=CORREL(OFFSET($B$1, 0, 0, 9999-A1, 1 ),OFFSET($B$1, A1, 0, 9999-A1, 1 ))
=CORREL(OFFSET($B$1, 0, 0, 9999-A2, 1 ),OFFSET($B$1, A2, 0, 9999-A2, 1 ))

after you have filled column A with the consecutive row numbers (1, 2, 3, ...)

4. Jun 28, 2011

MichalXC

Gsal, sorry, I don't know Python.

The above-posted formula works great though!

5. Jun 28, 2011

I like Serena

6. Jun 30, 2011

MichalXC

Hi again.

Excel (understandably) becomes unresponsive when asked to do some of these calculations. Seeing as much, I would be most grateful if someone could show me how to implement a correlogram (autocorrelation plot) in Mathematica.

7. Jul 15, 2011

Proton Soup

since you mentioned matlab (deja vu?), another program you might want to check out is Scilab. not a full clone, but very similar to matlab.

8. Jul 15, 2011

gsal

Then, there is Octave and Freemat. And of course, Python with numpy/scipy.