chart.ACF: Create ACF chart or ACF with PACF two-panel chart

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

Creates an ACF chart or a two-panel plot with the ACF and PACF set to some specific defaults.

Usage

chart.ACF(R, maxlag = NULL, elementcolor = "gray", main = NULL, ...)

chart.ACFplus(R, maxlag = NULL, elementcolor = "gray", main = NULL, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
maxlag	the number of lags to calculate for, optional
elementcolor	the color to use for chart elements, defaults to "gray"
main	title of the plot; uses the column name by default.
...	any other passthru parameters

Note

Inspired by the website: http://www.stat.pitt.edu/stoffer/tsa2/Rcode/acf2.R "...here's an R function that will plot the ACF and PACF of a time series at the same time on the SAME SCALE, and it leaves out the zero lag in the ACF: acf2.R. If your time series is in x and you want the ACF and PACF of x to lag 50, the call to the function is acf2(x,50). The number of lags is optional, so acf2(x) will use a default number of lags [sqrt(n) + 10, where n is the number of observations]."

That description made a lot of sense, so it's implemented here for both the ACF alone and the ACF with the PACF.

Author(s)

Peter Carl

See Also

plot

Examples

data(edhec)
chart.ACFplus(edhec[,1,drop=FALSE])

PerformanceAnalytics documentation built on Feb. 6, 2020, 5:11 p.m.