| chart.ACF {PerformanceAnalytics} | R Documentation |
Creates an ACF chart or a two-panel plot with the ACF and PACF set to some specific defaults.
chart.ACF(R, maxlag = NULL, elementcolor = "gray", main = NULL, ...) chart.ACFplus(R, maxlag = NULL, elementcolor = "gray", main = NULL, ...)
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 |
Returns a one- or two-panel chart.
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.
Peter Carl
data(edhec) chart.ACFplus(edhec[,1,drop=FALSE])