dif4mtx {generalCorr}

order four differencing of a matrix of time series

Description

This is for momentum traders who focus on growth, acceleration, its growth and further acceleration. The diff function of R seems to do recycling of available numbers, not wanted for our purposes. Hence, this function is needed in portfolio studies based on time series.

Usage

dif4mtx(mtx)

Arguments

mtx

(n X p) matrix of p time series (market returns) with n items each

Value

out matrix having 12 rows, (data, D1 to D4 and ranks of D1 to D4 The column names of out are those of input matrix mtx.

Author(s)

Prof. H. D. Vinod, Economics Dept., Fordham University, NY

Examples

x=c(2,8,3,5,1,8,19,22,23)
y=c(3,11,2,6,7,9,20,25,21)
dif4mtx(cbind(x,y))