PerformanceAnalytics (version 0.9.7.1)

table.Autocorrelation: table for calculating the first six autocorrelation coefficients and significance

Description

Produces data table of autocorrelation coefficients $\rho$ and corresponding Q(6)-statistic for each column in R.

Usage

table.Autocorrelation(R, digits = 4)

Arguments

R

a vector, matrix, data frame, timeSeries or zoo object of asset returns

digits

number of digits to round results to for display

Value

• data.frame with columns for the first six auto-correlation coefficients and the Q(6) test.

References

Lo, Andrew W. 2001. Risk Management for Hedge Funds: Introduction and Overview. SSRN eLibrary.

See Also

Box.test, acf

Examples

data(managers)
t(table.Autocorrelation(managers))