NDK_LAG

Last Modified on 04/21/2016 1:01 pm CDT

C/C++
.Net

int __stdcall NDK_LAG	(	double *	X,
		size_t	N,
		size_t	K
	)

Returns an array of cells for the backward shifted, backshifted or lagged time series.

Returns: status code of the operation

Return values

NDK_SUCCESS	Operation successful
NDK_FAILED	Operation unsuccessful. See Macros for full list.

Parameters

[in,out]	X	is the univariate time series data (a one dimensional array).
[in]	N	is the number of observations in X.
[in]	K	is the lag order (e.g. k=0 (no lag), k=1 (1st lag), etc.).

Remarks

The time series is homogeneous or equally spaced.
The time series may include missing values (e.g. NaN) at either end.
k (i.e. Excel lag order) should be non-negative and less than the size of the time series.
The lagged time series is: \[ \left[z_t\right] = L^k\left[x_t\right] = \left[x_{t-k}\right] \] Where:
- \( \left[z_t\right]\) is the lagged time series.
- \(\left[x_t\right]\) is the input time series.
- \(L\) is the Excel lag operator.
- \(k\) is the Excel lag order.
  \(k \leq T-1 \)

Requirements

Header	SFSDK.H
Library	SFSDK.LIB
DLL	SFSDK.DLL

Examples

Namespace:	NumXLAPI
Class:	SFSDK
Scope:	Public
Lifetime:	Static

int NDK_LAG	(	double[]	data,
		UIntPtr	nLen,
		UIntPtr	lag
	)

Returns an array of cells for the backward shifted, backshifted or lagged time series.

Returns: status code of the operation

Return values

NDK_SUCCESS	Operation successful
NDK_FAILED	Operation unsuccessful. See Macros for full list.

Parameters

[in,out]	data	is the univariate time series data (a one dimensional array).
[in]	nLen	is the number of observations in data.
[in]	lag	is the lag order (e.g. k=0 (no lag), k=1 (1st lag), etc.).

Remarks

The time series is homogeneous or equally spaced.
The time series may include missing values (e.g. NaN) at either end.
k (i.e. Excel lag order) should be non-negative and less than the size of the time series.
The lagged time series is: \[ \left[z_t\right] = L^k\left[x_t\right] = \left[x_{t-k}\right] \] Where:
- \( \left[z_t\right]\) is the lagged time series.
- \(\left[x_t\right]\) is the input time series.
- \(L\) is the Excel lag operator.
- \(k\) is the Excel lag order.
  \(k \leq T-1 \)

Exceptions

Exception Type	Condition
None	N/A

Requirements

Namespace	NumXLAPI
Class	SFSDK
Scope	Public
Lifetime	Static
Package	NumXLAPI.DLL

Examples

References: * 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; * D. S.G. Pollock; Handbook of Time Series Analysis, Signal Processing, and Dynamics; Academic Press; Har/Cdr edition(Nov 17, 1999), ISBN: 125609906; * Box, Jenkins and Reisel; Time Series Analysis: Forecasting and Control; John Wiley & SONS.; 4th edition(Jun 30, 2008), ISBN: 470272848

Was this article helpful?