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NumXL

1.60 (APACHE) Functions


In this page, we maintain a comprehensive list of NumXL time series functions that are available in Microsoft Excel. Each function can be used directly in a worksheet formula, or called from a VBA macro.

Descriptive Stats (24)


Descriptivestatisticsisthedisciplineofquantitativelydescribingthemainfeaturesofacollectionof data.Themainaimistosummarizeadataset,ratherthanusethedatatolearnaboutthepopulation thatthedataarethoughttorepresent. Function EWMA XCF EWXCF Description Calculatestheestimatedvalueoftheexponentialweightedvolatility(EWV) Calculatesthecrosscorrelationfunctionbetweentwotimeseries Computesthecorrelationfactorusingtheexponentialweightedcorrelationfunction (i.e.usingtheexponentialweightedcovariance(EWCOV)andvolatility(EWMA/EWV) method) Calculatesthesampleautocorrelationfunction(ACF)ofastationarytimeseries Calculatestheconfidenceintervallimits(upper/lower)fortheautocorrelationfunction Calculatesthesamplepartialautocorrelationfunction(PACF) Returnstheconfidenceintervallimits(upper/lower)forthepartialautocorrelation function(PACF) ReturnsthesampleGinicoefficient CalculatestheHurstexponentfortimeserieswithmorethan128observations ReturnsthelongrunvarianceusingaBartlettkernelwithwindowsizek Returnsthesamplemedianofabsolutedeviation(MAD) Returnsthemeandifferenceoftheinputdataseries Returnsthemeandifferenceoftheinputdataseries Calculatesthesumofabsoluteerrors(SAE)betweentheforecastandtheeventual outcomes Calculatesthemeanabsoluteerrorfunctionfortheforecastandtheeventualoutcomes Calculatesthemeanabsolutepercentageerror(Deviation)functionfortheforecastand theeventualoutcomes Calculatestherootmeansquareddeviations(akaroormeansquarederror(RMSE)) function Calculatestherootmeansquarederror(akarootmeansquareddeviation(RMSD)) function Calculatesthesumofthesquarederrorsofthepredictionfunction Returnstheinterquartilerange(IQR),alsocalledthemidspreadormiddlefifty. Returnsthesamplepquantileofthenonmissingobservations(i.e.dividesthesample dataintoequalpartsdeterminedbythepercentagep) Returnsthesamplerootmeansquare(RMS) 1 SpiderFinancialCorp,2013

ACF ACFCI PACF PACFCI GINI HURST LRVar MAD MD RMD SAE MAE MAPE RMSD RMSE SSE IQR Quantile RMS

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GED_XKURT Calculatestheexcesskurtosisofthegeneralizederrordistribution(GED) TDIST_XKURT CalculatestheexcesskurtosisoftheStudent'stDistribution

Histogram (5)
Instatistics,ahistogramisagraphicalrepresentationshowingavisualimpressionofthedistributionof data.Itisanestimateoftheprobabilitydistributionofacontinuousvariable. Function HISTBINS HISTBIN NxHistogram EDF KDE Description Returnsthenumberofhistogrambinsusingagivenheuristic/method Returnstheupper/lowerlimitorcentervalueofthekthhistogrambin Calculatesthehistogramorcumulativehistogramfunctionforagivenbin Calculatesthedensityorcumulativeprobabilityoftheempiricalsampledistribution (EDF) Calculatesthekerneldensityestimation(PDE)ofthesampledata

Statistical tests (12)


Statistical/Hypothesistestingisacommonmethodofdrawinginferencesaboutapopulationbasedon statisticalevidencefromasample. Function TEST_MEAN TEST_STDEV TEST_SKEW TEST_XKURT Description Calculatesthepvalueofthestatisticaltestforthepopulationmean Calculatesthepvalueofthestatisticaltestforthepopulationstandarddeviation Calculatesthepvalueofthestatisticaltestforthepopulationskew(i.e.3rdmoment) Calculatesthepvalueofthestatisticaltestforthepopulationexcesskurtosis(4th moment) CollinearityTest Returnsthepvalueofthemulticollinearitytest ChowTest Returnsthepvalueoftheregressionstabilitytest(i.e.whetherthecoefficientsintwo linearregressionsondifferentdatasetsareequal) NormalityTest Returnsthepvalueofthenormalitytest(i.e.whetheradatasetiswellmodeledbya normaldistribution) WNTest Computesthepvalueofthestatisticalportmanteautest(i.e.whetheranyofagroup ofautocorrelationsofatimeseriesisdifferentfromzero) ACFTest Calculatesthepvalueofthestatisticaltestforthepopulationautocorrelation function ARCHTest CalculatesthepvalueoftheARCHeffecttest(i.e.thewhitenoisetestforthe squaredtimeseries) XCFTest Calculatestheteststats,pvalueorcriticalvalueofthecorrelationsignificancetest. ADFTest ReturnsthepvalueoftheAugmentedDickeyFuller(ADF)test,whichtestsforaunit rootinthetimeseriessample

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SpiderFinancialCorp,2013

Data transformation (15)


Instatistics,datatransformationreferstotheapplicationofadeterministicmathematicalfunctionto eachpointinadataset. Function DETREND BoxCox LAG DIFF Description Detrendsatimeseriesusingaregressionofyagainstapolynomialtimetrendoforderp ReturnstheBoxCoxtransformationoftheinputdatapoint(s) Returnsanarrayofcellsforthebackwardshifted,backshiftedorlaggedtimeseries Returnsanarrayofcellsforthedifferencedtimeseries(i.e. (1 Ls ) d ) INTG Integratesthedifferencedtimeseriesandrecoverstheoriginaldata(inverseofDIFF) TSADD Returnsanarrayofcellsforthesumoftwotimeseries TSSUB Returnsanarrayofthedifferencebetweentwotimeseries TSSCALE Returnsanarrayofcellsforthescaledtimeseries REVERSE Returnsthetimereversedordertimeseries(i.e.thefirstobservationisswappedwith thelastobservation,etc.)forbothmissingandnonmissingvalues. LOGIT Computesthelogittransformation,includingitsinverse PROBIT Computestheprobittransformation,includingitsinverse CLOGLOG Computesthecomplementaryloglogtransformation,includingitsinverse RMNA Returnsanarrayofcellsofatimeseriesafterremovingallmissingvalues SUBNA Returnsanarrayofcellsofatimeseriesaftersubstitutingallmissingvalueswiththe mean/median NxTranspose Convertsaverticalrangeofcolumnsintorowsrangeorviceversa

Time series smoothing (6)


Theterm"smoothing"isoftenusedtorefertotechniquesthatcanbeappliedtotimeseriesdatain ordertoproducesmoothed(lessnoisyorslowermoving)dataforpresentation,ortomakeoutof sampleforecasts. Function Description WMA Returnstheweightedmoving(rolling/running)averageusingthepreviousmdatapoints SESMTH Returnsthe(Brown's)simpleexponential(EMA)smoothingestimateofthevalueofXattime t+m(basedontherawdatauptotimet) DESMTH Returnsthe(HoltWinters's)doubleexponentialsmoothingestimateofthevalueofXattime T+m LESMTH Returnsthe(Brown's)LinearexponentialsmoothingestimateofthevalueofXattimeT+m (basedontherawdatauptotimet) TESMTH Returnsthe(Winters's)tripleexponentialsmoothingestimateofthevalueofXattimeT+m NxTrend Returnsvaluesalongatrendcurve(e.g.linear,quadratic,exponential,etc.)attimeT+m

Spectral Analysis (2)


Instatistics,spectralanalysisisaprocedurethatdecomposesatimeseriesintoaspectrumofcyclesof differentlengths.Spectralanalysisisalsoknownasfrequencydomainanalysis. NumXLFunctionsList 3 SpiderFinancialCorp,2013

Function Description DFT CalculatesthediscretefastFouriertransformationforamplitudeandphase IDFT CalculatestheinversediscretefastFouriertransformation,recoveringthetimeseries

Date & Calendar (8)


TheDateandHolidayCalendarfunctionalitywereintroducedstartinginversion1.56(Zebra)tohelpyou identifyanyholidays,tradingdays,andweekdaysbiaseffectsthatoftenariseintimeseriesanalysis. Function NxAdjust Description Examineswhetherthegivendatefallsonaweekendoraholiday(i.e.nonworking day),andreturnsthenearestworkingbusinessdayusingaBusinessDayConvention (BDC) NxEDATE Returnstheserialnumberofthedateafteragivenperiod(e.g.1week,3months, etc.) NxIsWorkday Examinesagivendateforweekendsandholidays(nonworkingdays),andreturns FALSEifitfallsonanonworkingday;otherwiseitreturnsTRUE NxNetWorkdays Returnsthenumberofwholeworkingdaysbetweentwodates(inclusive).Working daysexcludeweekendsandanydateidentifiedasaholiday NxNWKDY Returnstheserialnumberofthenthweekdayinamonth.Ifthetargetweekdayfalls onaholiday,userscanadjustthedaytothenextorpriorworkday NxWeekday Returnsthedayoftheweekcorrespondingtoadate.Thedayisgivenasaninteger, rangingfrom1(Sunday)to7(Saturday),bydefault. NxWKDYOrder Returnstheorderoftheweekdayinthemonthforagivendate.Thisistheinverse operatorofNxNWKDAY NxWorkday Returnstheserialdatenumberthatrepresentsthedatethatfallsafterthestartdate byagivennumberofworkingdays

Weekend (5)
AsofExcel2007,Microsoftsupportsdifferentweekendoccurrencesintheinternationalversionofthe datefunctions(e.g.WORKDAY.INTL).Theweekendconventionsaredefinedbyeitheranumberora7 characterslongstring(code). Function Description NxIsWeekend ReturnsTRUEifthereferencedatefallsonaweekend NxWKNDate Returnstheserialdatenumberthatcorrespondstothefirst(last)dayinthenext(last) weekend NxWKNDNo Returnstheweekendnumber(17or1117)foragivencountryoraweekendcode NxWKNDStr Returnsthesevencharacterstringcodeforaweekendnumber(17,1117) NxWKNDUR Returnstheduration(incalendardays)ofthe(long)weekendthatagivendayfallson

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SpiderFinancialCorp,2013

Holiday (6)
Aholidayisadaydesignatedashavingspecialsignificanceforindividuals,governmentsorreligious groups.Typically,aholidaydoesnotnecessarilyexcludedoingnormalworkbutforourpurposes, NumXLassumesallsupportedholidays(e.g.NationalHolidays)excludenormalwork. Function NxIsHoliday NxHolidays NxFindHLDY NxHLDYDate NxHLDYDates Description ReturnsTRUEifthereferencedatefallsonaholiday Returnsanarrayofthematchingsupportedholidaycodes Returnstheholidaycodethatfallsonthegivendate Returnsthedateserialnumberthatrepresentstheholidayinthegivenyear Returnsanarrayofserialdatenumbersthatrepresentobservedholidaysbetweenthe twogivendates NxHLDYName Returnsthefullnameoftheholidaythatcorrespondstothegivenshortcode

Calendar (6)
Forfinancialtimeanalysis,acalendarisbasicallyadefinitionofalistofobservedholidaysanda weekenddaysconvention. Function NxCalendars NxCALHolidays NxCALName NxCALWKND Description Returnsanarrayofnamesandcodesforthesupportedcalendars Returnsanarrayoftheholidays'namesandcodesasdefinedforthegivencalendar Returnsthecalendarnameanddescription,giventhecalendar'sshortcode(e.g.,"US" willreturn"USGovernmentHolidays") Returnstheweekendnumberofa7characterstring,calendarcode,orcurrency.Each characterrepresentsadayoftheweek,beginningwithMonday

ARMA Model (14)


Givenatimeseriesofdata ,theARMAmodelisatoolforunderstandingand,perhaps,predicting futurevaluesinthisseries.Themodelconsistsoftwoparts,anautoregressive(AR)partandamoving average(MA)part.ThemodelisusuallythenreferredtoastheARMA(p,q)modelwherepistheorder oftheautoregressivepartandqistheorderofthemovingaveragepart(asdefinedbelow). Function ARMA ARMAX ARMA_MEAN ARMA_VOL ARMA_GUESS ARMA_LLF ARMA_AIC Description ReturnsanarrayofcellsforthepackedformofthegivenARMAmodel ReturnsanarrayofcellsforthepackedformofagivenARMAXmodel Returnsanarrayofcellsforthefittedvaluesoftheconditionalmean Returnsanarrayofcellsforthefitted(insample)conditionalvolatility/standard deviation Returnsanarrayofcellsfortheinitial/quickguessofthemodel'sparameters Computestheloglikelihoodfunction(LLF)oftheestimatedARMAmodel CalculatestheAkaike'sinformationcriterion(AIC)ofthegivenestimatedARMA model(withcorrectionstosmallsamplesizes) 5 SpiderFinancialCorp,2013

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ARMA_CHECK Examinesthemodel'sparametersforstabilityconstraints(e.g.stationary,etc.) ARMA_CALIBRATE Computesthemaximumlikelihoodestimate(MLE)ofthemodel'sparameters ARMA_ERRORS Returnsanarrayofcellsfortheestimatederror/standarddeviationofthemodel's parameters ARMA_RESID ReturnsanarrayofcellsforthestandardizedresidualsofagivenARMAmodel ARMA_FORE Calculatestheoutofsampleconditionalmeanforecast ARMA_FORESD Calculatestheestimatederror/standarddeviationoftheconditionalmeanforecast ARMA_FORECI Returnstheconfidenceintervallimitsoftheconditionalmeanforecast

AIRLINE Model (8)


Theairlinemodelisaspecial,butcommonlyused,caseofthemultiplicativeARIMAmodel. Description CalculatestheAkaike'sinformationcriterion(AIC)ofthegivenairlinemodel(with correctionstosmallsamplesizes) AIRLINE_LLF Calculatestheloglikelihoodfunction(LLF)ofthegivenairlinemodel AIRLINE_CHECK Examinesthemodel'sparametersforstabilityconstraints(e.g.stationary,etc.) AIRLINE_RESID Returnsanarrayofcellsforthestandardizedresidualsofagivenairlinemodel AIRLINE_MEAN Returnsanarrayofcellsforthefittedvaluesoftheconditionalmean AIRLINE_FORE Calculatestheoutofsampleconditionalmeanforecast AIRLINE_FORESD Calculatestheestimatederror/standarddeviationoftheconditionalmeanforecast AIRLINE_FORECI Returnstheconfidenceintervallimitsoftheconditionalmeanforecast Function AIRLINE_AIC

X12ARIMA Model (4)


NumXLsupportstheX12ARIMAmethod.X12ARIMAisthesoftwareproduced,distributedand maintainedbytheUnitedStatesCensusBureau. Function X12ARIMA X12APROP Description ReturnsauniquestringtodesignatethespecifiedX12ARIMAmodel Returnsthecurrentoptionstatus(e.g.transformationfunction,outliers)ofagivenX12 ARIMAmodel X12ACOMP ReturnsthevalueofanX12ARIMAmodeloutputcomponent(e.g.trend,seasonalor irregular) X12AFORE Returnstheforecastvalueand/orconfidenceintervallimitsfortheX12ARIMAmodel

NumXLFunctionsList

SpiderFinancialCorp,2013

GARCH Model (13)


Ifanautoregressivemovingaveragemodel(ARMAmodel)isassumedfortheerrorvariance,themodel isageneralizedautoregressiveconditionalheteroskedasticity(GARCH,Bollerslev(1986))model. Function GARCH GARCH_VOL

Description ReturnsanarrayofcellsforthepackedformofagivenGARCHmodel Returnsanarrayofthefitted(insample)conditionalvolatilities/standard deviations(sigma) GARCH_GUESS Returnstheinitialguessofagivenmodel'sparameters GARCH_LLF Computestheloglikelihoodfunctionforthefittedmodel GARCH_AIC CalculatestheAkaike'sinformationcriterion(AIC)ofagivenestimatedGARCH model(withcorrectionstosmallsamplesizes) GARCH_CHECK Examinesthemodel'sparametersforstabilityconstraints(e.g.stationary,positive variance,etc.) GARCH_VL CalculatesthelongrunaveragevolatilityforthegivenGARCHmodel GARCH_CALIBRATE Computesthemaximumlikelihoodestimated(MLE)modelparameters GARCH_ERRORS Returnsanarrayofcellsfortheestimatederror/standarddeviationofagiven model'sparameters GARCH_RESID ReturnsanarrayofthestandardizedresidualsforthefittedGARCHmodel GARCH_FORE Calculatestheoutofsampleconditionalmeanforecast GARCH_FORESD Calculatestheestimatederror/standarddeviationoftheconditionalmean forecast GARCH_FORECI Returnstheconfidenceintervallimitsoftheconditionalmeanforecast

EGARCH Model (13)


Theexponentialgeneralautoregressiveconditionalheteroskedastic(EGARCH)modelbyNelson(1991) isanotherformoftheGARCHmodel,formallycalledEGARCH(p,q). Function EGARCH EGARCH_VOL Description ReturnsanarrayofcellsforthepackedformofagivenEGARCHmodel Returnsanarrayofthefitted(insample)conditionalvolatilities/standard deviations EGARCH_GUESS Returnstheinitialguessofagivenmodel'sparameters EGARCH_LLF Computestheloglikelihoodfunctionforthefittedmodel EGARCH_AIC CalculatestheAkaike'sinformationcriterion(AIC)ofagivenestimatedEGARCH model(withcorrectionsforsmallsamplesizes) EGARCH_CHECK Examinesthemodel'sparametersforstabilityconstraints(e.g.stationary, positivevariance,etc.) EGARCH_VL CalculatesthelongrunaveragevolatilityforthegivenEGARCHmodel EGARCH_CALIBRATE Computesthemaximumlikelihoodestimated(MLE)modelparameters EGARCH_ERRORS Returnsanarrayofcellsfortheestimatederror/standarddeviationofagiven model'sparameters EGARCH_RESID ReturnsanarrayofthestandardizedresidualsforthefittedEGARCHmodel NumXLFunctionsList 7 SpiderFinancialCorp,2013

EGARCH_FORE EGARCH_FORESD EGARCH_FORECI Calculatestheoutofsampleconditionalmeanforecast Calculatestheestimatederror/standarddeviationoftheconditionalmean forecast Returnstheconfidenceintervallimitsoftheconditionalmeanforecast

GARCHM Model (14)


Infinance,thereturnofasecuritymaydependonitsvolatility(risk).Tomodelsuchphenomena,the GARCHinmean(GARCHM)modeladdsaheteroskedasticitytermintothemeanequation. Function GARCHM GARCHM_MEAN GARCHM_VOL Description ReturnsanarrayofcellsforthepackedformofagivenGARCHMmodel Returnsanarrayofthefitted(insample)conditionalmeanvalues Returnsanarrayofthefitted(insample)conditionalvolatilities/standard deviations GARCHM_GUESS Returnstheinitialguessofagivenmodel'sparameters GARCHM_LLF Computestheloglikelihoodfunctionforthefittedmodel GARCHM_AIC CalculatestheAkaike'sinformationcriterion(AIC)ofagivenestimatedGARCH Mmodel(withcorrectionsforsmallsamplesizes) GARCHM_CHECK Examinesthemodel'sparametersforstabilityconstraints(e.g.stationary, positivevariance,etc.) GARCHM_VL CalculatesthelongrunaveragevolatilityforthegivenGARCHMmodel GARCHM_CALIBRATE Computesthemaximumlikelihoodestimated(MLE)modelparameters GARCHM_ERRORS Returnsanarrayofcellsfortheestimatederror/standarddeviationofagiven model'sparameters GARCHM_RESID ReturnsanarrayofthestandardizedresidualsforthefittedGARCHMmodel GARCHM_FORE Calculatestheoutofsampleconditionalmeanforecast GARCHM_FORESD Calculatestheestimatederror/standarddeviationoftheconditionalmean forecast GARCHM_FORECI Returnstheconfidenceintervallimitsoftheconditionalmeanforecast

COMBO Model (12)


Theadvancedmodelsframeworkaddressestheneedtobuildacombomodel.Acombomodelhastwo components:(1)conditionalmeanmodel(e.g.ARMA),andaconditionalvariancemodel(e.g.GARCH). Function TSM_LLF TSM_AIC TSM_CHECK TSM_MEAN TSM_VOL Description Computestheloglikelihoodfunctionforthefittedmodel CalculatestheAkaike'sinformationcriterion(AIC)ofagivenestimatedmixedmodel (withcorrectionsforsmallsamplesizes) Examinesthemodel'sparametersforstabilityconstraints(e.g.stationary,positive variance,etc.) Returnsanarrayofthefitted(insample)conditionalmeanvalues Returnsanarrayofthefitted(insample)conditionalvolatilities/standarddeviations 8 SpiderFinancialCorp,2013

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TSM_RESID Returnsanarrayofthestandardizedresidualsforthefittedmixedmodel TSM_CALIBRATE Computesthemaximumlikelihoodestimated(MLE)modelparameters TSM_ERRORS Returnsanarrayofcellsfortheestimatederror/standarddeviationofagiven model'sparameters TSM_FORE Calculatestheoutofsampleconditionalmeanforecast TSM_FORESD Calculatestheestimatederror/standarddeviationoftheconditionalmeanforecast TSM_FORECI Returnstheconfidenceintervallimitsoftheconditionalmeanforecast MIXED_MODEL Returnsanarrayofcellsforthepackedformofthemixedmodel(i.e.conditional meanandconditionalvolatilitymodelcomponents)

Generalized Linear Model (14)


Thegeneralizedlinearmodel(GLM)isaflexiblegeneralizationofanordinaryleastsquaresregression. TheGLMgeneralizeslinearregressionbyallowingthelinearmodeltoberelatedtotheresponse variable(i.e. )viaalinkfunction(i.e. )andbyallowingthemagnitudeofthevarianceofeach measurementtobeafunctionofitspredictedvalue. Description ReturnsanarrayofcellsforthepackedformofagivenGLMmodel CalculatestheAkaike'sinformationcriterion(AIC)oftheGLMmodel(with correctionstosmallsamplesizes) GLM_LLF Computestheloglikelihoodfunction(LLF)oftheGLMmodel GLM_RSQ Calculatestheplaincoefficientofdetermination(RSquared),ortheadjustedR Squared(adjustsforthenumberofexplanatorytermsinamodel) GLM_CHECK Examinesthemodel'sparametersforconstraints(e.g.positivevariance,etc.) GLM_GUESS Returnsanarrayofcellsfortheinitial(nonoptimal)guessofthemodel'sparameters GLM_CALIBRATE Computesthemaximumlikelihoodestimate(MLE)ofthemodel'sparameters GLM_ERRORS Returnsanarrayofcellsfortheestimatederror/standarddeviationofthemodel's parameters GLM_FORE Calculatestheexpectedresponse(i.e.mean)value;giventheGLMmodelandthe valuesoftheexplanatoryvariables GLM_FORESD Calculatesthestandarddeviation(sigmaoftheerrorterms(epsilon))oftheGLM model;giventhevaluesofexplanatoryvariables GLM_FORECI Calculatesthestandarddeviation(sigmaoftheerrorterms(epsilon))oftheGLM model;giventhevaluesofexplanatoryvariables GLM_MEAN Calculatestheexpectedresponse(i.e.mean)value;giventheGLMmodelandthe valuesoftheexplanatoryvariables GLM_VOL Calculatesthestandarddeviation(sigma)oftheerrorterms(epsilon)inthegiven GLMmodel GLM_RESID Returnsthestandardizedresiduals/errorsofagivenGLM Function GLM GLM_AIC

Simple Linear Regression Model (5)


Simplelinearregression(SLR)istheleastsquaresestimatorofalinearregressionmodelwithasingle explanatoryvariable. NumXLFunctionsList 9 SpiderFinancialCorp,2013

Function SLR_PARAM SLR_FITTED SLR_FORE SLR_ANOVA SLR_GOF Description CalculatestheOLSregressioncoefficientsvalues Returnsanarrayofcellsforthefittedvaluesoftheconditionalmean(orresiduals) Calculatestheforecastvalue,errorandconfidenceintervalforregressionmodel Calculatestheregressionmodelanalysisofthevariance(ANOVA)values Calculatesameasureforthegoodnessoffit(e.g.R^2).

Multiple Linear Regression Model (7)


Multiplelinearregression(SLR)istheleastsquaresestimatorofalinearregressionmodelwitha multipleexplanatoryvariables. Function MLR_PARAM MLR_FITTED MLR_FORE MLR_ANOVA MLR_GOF MLR_PRFTest Description Calculatestheregressioncoefficientsvaluesforagiveninputvariable Returnsanarrayofcellsforthefittedvaluesoftheconditionalmean(orresiduals) Calculatestheforecastvalue,errorandconfidenceintervalforregressionmodel Calculatestheregressionmodelanalysisofthevariance(ANOVA)values Calculatesameasureforthegoodnessoffit(e.g.R^2). Calculatesthepvalueandrelatedstatisticsofthepartialftest(usedfortestingthe inclusion/exclusionvariables). MLR_STEPWISE Returnsalistoftheselectedvariablesafterperformingthestepwiseregression

Principal Component Analysis (9)


Principalcomponentanalysis(PCA)isamathematicalprocedurethatusesanorthogonallinear transformationtoconvertasetofobservationsofpossiblycorrelatedvariablesintoasetofvaluesof linearlyuncorrelatedvariablescalledprincipalcomponents. Function PCA_COMP PCA_VAR PCR_PARAM PCR_FITTED PCR_FORE PCR_ANOVA Description Returnsanarrayofcellsfortheithprincipalcomponent(orresiduals) Returnsanarrayofcellsfortheithprincipalcomponent(orresiduals) Calculatestheregressioncoefficientsvaluesforagiveninputvariable Returnsanarrayofcellsforthefittedvaluesoftheconditionalmean(orresiduals) Calculatestheforecastvalue,errorandconfidenceintervalforregressionmodel Calculatestheregressionmodel(ofprincipalcomponents)analysisofvariance (ANOVA)values PCR_GOF Calculatesameasureforthegoodnessoffit(e.g.Rsquare,adjustedRsquare,MSRE, LLF,AIC,etc.) PCR_PRFTest CalculatesthepvalueandrelatedstatisticsofthepartialftestforPCR(usedfor testingtheinclusion/exclusionvariables. PCR_STEPWISE Returnsalistoftheselectedvariablesafterperformingthestepwiseregression

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10

SpiderFinancialCorp,2013

Portfolio Analysis (3)


NumXLalsofeaturesanumberoffunctionstofacilitatethemultiassetsportfoliocalculations Function PORT_RET PORT_VOL PORT_COVAR Description Calculatestheportfolioequivalentreturn Calculatestheportfolioequivalentvolatility Calculatesthecovariancebetweentwoportfoliosweighting

Utilities (9)
NumXLalsofeaturesanumberoffunctionsthatdonotfitintoourmainfunctioncategories.These "orphan"functions,includinginterpolation,extrapolation,andexcesskurtosisofaGED/Studentst distribution,aregroupedtogetherinthe"utilities"category. Function INTERPOLATE HASNA NxTokenize NxReplace NxMatch NxRegress MV_VARS MV_OBS NUMXL_INFO Description Returnsanarrayofcellsfortheinterpolatedfunctionvalue(s) CheckswhethertheinputarraycontainsanymissingvaluesandreturnsTRUEorFALSE Returnsthenthtoken/substringinastringaftersplittingitusingagivendelimiter Returnsthemodifiedstringafterperformingmatch/replaceonthegivenstring ReturnsTRUEifthestringmatchestheregularexpressionexpressed Calculatesthevalueoftheregressionfunctionforanintermediatexvalue Calculatesthenumberofvariablesinagivendataset. Calculatesthenumberofnonmissingobservationsinadataset(XandY). ReturnsversionandlicenseinformationforthelocalNumXLinstallation

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SpiderFinancialCorp,2013