table.Autocorrelation: table for calculating the first six autocorrelation...

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

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

Note

To test returns for autocorrelation, Lo (2001) suggests the use of the Ljung-Box test, a significance test for the auto-correlation coefficients. Ljung and Box (1978) provide a refinement of the Q-statistic proposed by Box and Pierce (1970) that offers a better fit for the chi^2 test for small sample sizes. Box.test provides both.

Author(s)

Peter Carl

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))

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")

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