Question

我正在尝试计算excel中多个资产之间的滚动平均成对相关性。

我创建了一个自定义函数，并尝试使用相关矩阵，但两者都不令人满意。

资产位于列
相关性必须超过定义的时间段/回顾
但如果部分回顾中缺少数据，则会忽略该资产（直到它有足够的数据）

到目前为止，该函数有效但我无法强制它忽略不完整的范围（它将空格替换为0）：

Function avgRho(DataRange As Range)
'
Dim nRow As Long, nCol As Long
Dim i As Long, j As Long, j1 As Long, j2 As Long
Dim RtnData() As Double
Dim v1
Dim counts As Double, sum_correl As Double
Dim rtn1() As Double, rtn2() As Double
'
avgRho = 0
'
nRow = DataRange.Rows.Count
nCol = DataRange.Columns.Count
If nRow <= 2 Or nCol <= 1 Then Exit Function
'
ReDim RtnData(1 To nRow, 1 To nCol)
ReDim rtn1(1 To nRow)
ReDim rtn2(1 To nRow)
'
For i = 1 To nRow
    For j = 1 To nCol
        v1 = DataRange(i, j).Value
        RtnData(i, j) = v1
    Next j
Next i
'
counts = 0
sum_correl = 0
For j1 = 1 To nCol
'
    For i = 1 To nRow
        rtn1(i) = RtnData(i, j1)
    Next i
'
    For j2 = j1 + 1 To nCol
        For i = 1 To nRow
                rtn2(i) = RtnData(i, j2)
        Next i
'
        counts = counts + 1
        sum_correl = sum_correl + WorksheetFunction.Correl(rtn1, rtn2)
'
    Next j2
'
Next j1
'
If sum_correl > 0 Then avgRho = sum_correl / counts
'
End Function

Answer 1

通过类似于建议解决，感谢Peekay，在添加到数据矩阵RtnData时过滤掉空白单元格还改变了计数过程：

Function avgRho(DataRange As Range)
'
Dim nRow As Long, nCol As Long
Dim i As Integer, j As Integer, j1 As Integer, j2 As Integer
Dim RtnData() As Double
Dim v1
Dim counts As Double, sum_correl As Double
Dim rtn1() As Double, rtn2() As Double
Dim MatColCount As Integer
'
avgRho = 0
MatColCount = 0
'
nRow = DataRange.Rows.Count
nCol = DataRange.Columns.Count
If nRow <= 2 Or nCol <= 1 Then Exit Function
'
ReDim RtnData(1 To nRow, 1 To nCol)
ReDim rtn1(1 To nRow)
ReDim rtn2(1 To nRow)
'
For i = 1 To nRow
    MatColCount = 0
    For j = 1 To nCol
        If DataRange(1, j).Value <> "" And DataRange(nRow, j) <> "" Then
            v1 = DataRange(i, j).Value
            MatColCount = MatColCount + 1
            RtnData(i, MatColCount) = v1
        End If
    Next j
Next i
'
counts = 0
sum_correl = 0
If MatColCount <= 1 Then Exit Function
'
For j1 = 1 To MatColCount
    For i = 1 To nRow
        rtn1(i) = RtnData(i, j1)
    Next i
'
    For j2 = j1 + 1 To MatColCount
        For i = 1 To nRow
            rtn2(i) = RtnData(i, j2)
        Next i
'
        counts = counts + 1
        sum_correl = sum_correl + WorksheetFunction.Correl(rtn1, rtn2)
'
    Next j2
'
Next j1
'
If counts > 0 Then avgRho = sum_correl / counts
'
End Function

VBA滚动平均成对相关

1 个答案: