rollingCorrelation {PerformanceAnalytics} | R Documentation

## rolling training period covariance/correlation

### Description

This is a wrapper for providing n-period trailing correlations for the data provided.

### Usage

    rollingCorrelation(Ra, Rj, width, trim = TRUE, na.rm = FALSE, ...)

### Arguments

`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

### Details

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

### Value

A data.table of n-period trailing correlations for each column in y.

### Note

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`

### Author(s)

Peter Carl

### References

### See Also

`cov`

### Examples

    #head(rollingCorrelation(manager.ts@Data[,1],edhec.ts@Data,n=12))

[Package PerformanceAnalytics version 0.9.5 Index]