NDK_LAG

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

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
  1. The time series is homogeneous or equally spaced.
  2. The time series may include missing values (e.g. NaN) at either end.
  3. k (i.e. Excel lag order) should be non-negative and less than the size of the time series.
  4. 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
  1. The time series is homogeneous or equally spaced.
  2. The time series may include missing values (e.g. NaN) at either end.
  3. k (i.e. Excel lag order) should be non-negative and less than the size of the time series.
  4. 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