| rollingCorrelation {PerformanceAnalytics} | R Documentation |
This is a wrapper for providing n-period trailing correlations for the data provided.
rollingCorrelation(Ra, Rj, width, trim = TRUE, na.rm = FALSE, ...)
Ra |
a vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rj |
a vector, matrix, data frame, timeSeries or zoo object of asset returns |
width |
the number of periods over which a function is to be calculated. Use the value zero (0) to roll the statistic from inception |
trim |
TRUE/FALSE, whether to keep alignment caused by NA's |
na.rm |
TRUE/FALSE Remove NA's from the returns? |
... |
any other passthru parameters |
Example:
head(rollingCorrelation(manager.ts@Data[,1],edhec.ts@Data,n=12))
Convertible Arbitrage CTA Global Distressed
2003-11-28 0.2591101 0.2762218 0.7516556
2003-12-31 0.2162078 0.2477113 0.7452179
2004-01-30 0.3918575 0.3489062 0.7562063
2004-02-27 0.5331404 0.3905645 0.7088004
2004-03-31 0.5730389 0.3010877 0.5694478
2004-04-30 0.5146946 0.3762283 0.4374524
A data.table of n-period trailing correlations for each column in y.
Inspired by fMultivar rollFun written by Diethelm Wurtz.
Assumes that Ra and Rj are sequenced exactly the same and are regular.
Currently assumes that BOTH Ra and Rj are provided
@todo: Allow either a matrix or data frame for 'Ra' or give both 'Ra' and 'Rj' like cov
Peter Carl
#head(rollingCorrelation(manager.ts@Data[,1],edhec.ts@Data,n=12))