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autocorrelation

autocorrelation

autocorrelation

(OP)
Let's say I have a long set of data x[n] for n=0...N

I want an autocorrelation function
R[k] = Sum(x[n]*x[n+k])  /  Sum(x[n]^2)  where the sum is carried out for k from 0 to M
(M << N)

Can it be done easily in excel  (without vba) ?

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RE: autocorrelation

(OP)
Thanks, I appreciate that.  It looks like I get one k at a time.  I would like to plot the function Rhat(k)

http://en.wikipedia.org/wiki/Autocorrelation

I could string out the values of k in columns but that would make for a clumsy spreadsheet.

Is there a clever way to use matrix formula's to do it in place?

If not I'll break down and use vba... should be pretty easy that way.

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