R: table for calculating the first six autocorrelation coefficients and significance

table.Autocorrelation {PerformanceAnalytics}

R Documentation

table for calculating the first six autocorrelation coefficients and significance

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

Value

data.frame with columns for the first six auto-correlation coefficients and the Q(6) test.

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.

Examples

data(managers)
t(table.Autocorrelation(managers))

[Package PerformanceAnalytics version 0.9.9-5 Index]