rollAR: Apply AR Coefficients

In jmuhlenkamp/conditionalAR: Conditionally Evaluate Rolling Performance of AR Models

Description

Apply AR coefficients to one or multiple columns of an xts object in a rolling fashion.

Usage

rollAR(x, coef)

Arguments

x	An xts object
coef	Numeric vector of AR coefficients. First element corresponds to AR1.

Examples

# 10-day MA crossover
growth <- diff(log(stocks))
signal <- rollAR(growth, rep(1/9,9))

jmuhlenkamp/conditionalAR documentation built on May 30, 2019, 1:59 p.m.