PerformanceAnalytics (version 2.0.4)

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

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

digits

number of digits to round results to for display

References

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

See Also

Box.test, acf

Examples

# NOT RUN {
data(managers)
t(table.Autocorrelation(managers))

result = t(table.Autocorrelation(managers[,1:8]))

textplot(result, rmar = 0.8, cmar = 2,  max.cex=.9, halign = "center", 
         valign = "top", row.valign="center", wrap.rownames=15, 
         wrap.colnames=10, mar = c(0,0,3,0)+0.1)
         
title(main="Autocorrelation")

# }