Variance-stabilizing transformation

Template:Infobox Software NumXL (Numerical Analysis for Excel) is an econometrics/time series analysis add-in for Microsoft Excel. Developed by Spider Financial, NumXL provides a wide variety of statistical and time series analysis techniques, including linear and nonlinear time series modeling, statistical tests and others.

Although NumXL is intended as an analytical add-in for Excel, it extends Excel’s user-interface and offers numerous wizards, menus and toolbars to automate the mundane phases of time series analysis. The features include summary statistics, test of hypothesis, correlogram analysis, modeling, calibration, residuals diagnosis, back-testing and forecast.

NumXL users come from various backgrounds of finance, economics, engineering and science. NumXL is used in academic and research institutions as well as industrial enterprises.

NumXL User's Interface

NumXL comes with an elaborate user-interface (i.e. menu and toolbar) and interactive wizards to improve the general usability of the software. The NumXL UI components automate some steps in time series analysis and modeling.

Using the UI components and the wizards, the user can specify the time series of interest, fine-tune the desired analysis options and designate the location on his/her worksheet for the output. NumXL generates the corresponding analysis blocks (with underlying formulas) in the designated location

Function Categories

NumXL Functions are organized into eleven(11) categories:

Descriptive Statistics

• Autocorrelation function(ACF) and Partial autocorrelation function (PACF).
• Cross-correlation functions - XCF and EWXCF
• MD, RMD, MAD
• Statistical Functions - Calculate the excess kurtosis of the standardized GED and Student's t-dist.
• Empirical distribution functions: Histogram, EDF and KDE

Statistical Testing

• Hypothesis Test for population mean, for standard deviation, for skewness and for excess kurtosis.
• Normality test using Jarque–Bera test, Shapiro–Wilk test, and Chi-square test methods.
• White-noise test - Serial correlation tests (Portmanteau Test, Ljung-Box test and modified Q-test).
• Autoregressive Conditional Heteroskedasticity (ARCH) effect test.
• Augmented Dickey-Fuller (ADF) unit-root test.
• Multicollinearity test.
• Regression Stability Test (Chow test).

Transform

• Box-Cox and inverse Box-Cox transform.
• Logit, Probit and complementary log log link functions and its inverse.
• LAG or Backshift operator,
• Seasonal difference operator
• Time Series Integral operator
• Add, Subtract, scale, and chronological order reverse functions.
• Remove missing values from a time series.

Smoothing

• WMA
• Exponential smoothing functions: Brown's simple exponential, Holt-Winters double exponential, Brown's linear exponential, and Winters triple exponential smoothing functions.
• Time Series Trend - Linear, polynomial, logarithmic, exponential, and power

Spectral Analysis

• Discrete Fourier Transform and inverse.
• Hodrick Prescott filter.

Date and Calendar

• Weekday and workdays calculations
• International weekend support
• 11 international Holidays support.

ARMA Modeling

• Autoregressive Moving Average (ARMA) model
• AirLine Model
• X-12-ARIMA
• Goodness of fit - LLF, AICc and model's diagnosis.
• Forecast and back-testing

ARCH/GARCH Analysis

• Basic Operators - EWMA/EWV
• GARCH Model.
• Exponential GARCH (E-GARCH) Model.
• GARCH in the mean (GARCH-M) Model.
• Support for Gaussian, Student's t and GED distributed innovations/shocks.
• Goodness of fit - LLF, AICc and model's diagnosis

Factor Analysis

• Simple Linear Regression (SLR)
• Multiple Linear Regression (MLR)
• Principal Component Analysis (PCA) and Principal component regression
• Stepwise regression
• Generalized Linear Model (GLM)
• Support for the following Canonical link Functions:

Distribution	Name	Link Function
Normal	Identity	$\mathbf {X} {\boldsymbol {\beta }}=\mu \,\!$
Poisson	Log	$\mathbf {X} {\boldsymbol {\beta }}=\ln {\left({\frac {\mu }{1-\mu }}\right)}\,\!$
Binomial	Logit	$\mathbf {X} {\boldsymbol {\beta }}=\ln {\left({\frac {\mu }{1-\mu }}\right)}\,\!$
Binomial	Probit	$\mathbf {X} {\boldsymbol {\beta }}=\Phi ^{-1}{\left(\mu \right)}\,\!$
Binomial	Complementary log-log	$\mathbf {X} {\boldsymbol {\beta }}=\ln {\left(-\ln {\left(1-\mu \right)}\right)}\,\!$

• Support for Goodness of fit: LLF, AIC, Adjusted R-Squared, BIC/SIC and Deviance
• Residual diagnosis.

Advanced (Combo) Models

• Model Definition Function.
• Mixed Model - likelihood function.
• Goodness of fit - LLF, AICc, and model's diagnosis.

Utilities

• Interpolation Functions - Flat forward/backward, linear, and cubic spline interpolation.

Compatibility with Microsoft Excel

NumXL's statistical analysis software is compatible with all Excel versions from version 97 to version 2013 (aka Office 365), and is compatible with the Windows 9x till Windows 8 (32 and 64-bit) systems.

Release history

Version	Release	Year	Release Date	Notes
NumXL 1.0	1.0	2009	October 1, 2009	Official release
NumXL 1.0		2010	January 5, 2010	Maintenance Release I
NumXL 1.0			January 26, 2010	Maintenance Release II
NumXL 1.0			September 2, 2010	Maintenance Release III
NumXL 1.5	1.5	2011	June 13, 2011	New version
NumXL 1.51	ORB		September 23, 2011	Maintenance release.
NumXL 1.51.40905.1			December 28, 2011	Maintenance release I
NumXL 1.51.40927.3		2012	January 19, 2012	Maintenance release II
NumXL 1.52.40934.5			January 26, 2012	New version
NumXL 1.52.41002.5			April 3, 2012	Maintenance release I
NumXL 1.52.41018.1			April 19, 2012	Maintenance release II
NumXL 1.53.41023.1	SAC		April 25, 2012	New version
NumXL 1.53.41025.1			April 26, 2012	Maintenance release I
NumXL 1.54.41030.2	RED		May 2, 2012	New version
NumXL 1.55.41040.2	LYNX		May 11, 2012	New version
NumXL 1.56.41060.2	ZEBRA		May 31, 2012	New version
NumXL 1.57.41168.2	SINGA		September 17, 2012	New version
NumXL 1.58.41197.1	BAJA		October 16, 2012	New version
NumXL 1.59.41245.1	TUCSON		December 3, 2012	New version
NumXL 1.59.41288.1		2013	January 14, 2013	Maintenance Release I
NumXL 1.59.41295.1			January 21, 2013	Maintenance Release II
NumXL 1.59.41304.1			January 30, 2013	Maintenance Release III
NumXL 1.59.41325.1			February 19, 2013	Maintenance Release VI
NumXL 1.59.41339.1			March 6, 2013	Maintenance Release VII
NumXL 1.59.41341.1			March 8, 2013	Maintenance Release VIII
NumXL 1.59.41346.1			March 13, 2013	Maintenance Release IX
NumXL 1.59.41366.1			April 2, 2013	Maintenance Release X
NumXL 1.59.41372.1			April 8, 2013	Maintenance Release XI
NumXL 1.59.41374.1			April 11, 2013	Maintenance Release XII
NumXL 1.60.41413.1	APACHE		May 20, 2013	New version
NumXL 1.60.41415.1			May 21, 2013	Update 1
NumXL 1.60.41418.1			May 24, 2013	Update 2
NumXL 1.61.41445.1	BOLAS		June 20, 2013	New version
NumXL 1.61.41462.1			July 7, 2013	Update 1

See also

• EViews—A statistical package for Windows
• gretl—an open source alternative to EViews
• Rcmdr—an open source R-based alternative to SPSS
• OxMetrics—an alternative econometrics package
• RATS
• Comparison of statistical packages
• AREMOS

References

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External links

• NumXL Home page
• NumXL Getting Started
• NumXL Weekly Tips and Hints
• NumXL Release notes
• NumXL Tutorial Videos
• NumXL Community
• NumXL Facebook
• NumXL Twitter