table.Autocorrelation | R Documentation |
Produces data table of autocorrelation coefficients \rho
and
corresponding Q(6)-statistic for each column in R.
table.Autocorrelation(R, digits = 4, max.lag = 6)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
digits |
number of digits to round results to for display |
max.lag |
the maximum autocorrelation lag to include in the table |
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.
Peter Carl
Lo, Andrew W. 2001. Risk Management for Hedge Funds: Introduction and Overview. SSRN eLibrary.
Box.test
, acf
# CRAN does not allow examples to load suggested packages in one of its tests
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")
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