Have a Question?
Phone: +1 (888) 427-9486
+1 (312) 257-3777
Contact Us
LRVar
Returns the long run variance using a Bartlett kernel with window size k.
LRVar(X, k)
X
is the input data sample (a one dimensional array of cells (e.g. rows or columns)).
k
is the input Bartlett kernel window size. If omitted, the default value is the cubic root of the sample data size.
- The input time series data may include missing values (e.g. #N/A, #VALUE!, #NUM!, empty cell), but they will not be included in the calculations.
-
The long-run variance is computed as follows:
Where:-
is a value from the input time series data
-
is the mean of the input time series data
- The weight (
) in Bartlett kernel is defined as follows:
-
is the input window size for the Bartlett kernel
-
Example 1:
A | B | |
---|---|---|
1 | Date | Data |
2 | 1/1/2008 | #N/A |
3 | 1/2/2008 | -1.28 |
4 | 1/3/2008 | 0.24 |
5 | 1/4/2008 | 1.28 |
6 | 1/5/2008 | 1.20 |
7 | 1/6/2008 | 1.73 |
8 | 1/7/2008 | -2.18 |
9 | 1/8/2008 | -0.23 |
10 | 1/9/2008 | 1.10 |
11 | 1/10/2008 | -1.09 |
12 | 1/11/2008 | -0.69 |
13 | 1/12/2008 | -1.69 |
14 | 1/13/2008 | -1.85 |
15 | 1/14/2008 | -0.98 |
16 | 1/15/2008 | -0.77 |
17 | 1/16/2008 | -0.30 |
18 | 1/17/2008 | -1.28 |
19 | 1/18/2008 | 0.24 |
20 | 1/19/2008 | 1.28 |
21 | 1/20/2008 | 1.20 |
22 | 1/21/2008 | 1.73 |
23 | 1/22/2008 | -2.18 |
24 | 1/23/2008 | -0.23 |
25 | 1/24/2008 | 1.10 |
26 | 1/25/2008 | -1.09 |
27 | 1/26/2008 | -0.69 |
28 | 1/27/2008 | -1.69 |
29 | 1/28/2008 | -1.85 |
30 | 1/29/2008 | -0.98 |
Formula | Description (Result) | |
---|---|---|
=LRVar($B$2:$B$30,3) | Long-run variance (2.084) |
- Hamilton, J .D.; Time Series Analysis , Princeton University Press (1994), ISBN 0-691-04289-6
- Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740