estSpikedCovariance: (Donoho, Gavish, and Johnstone, 2013)

Description

(Donoho, Gavish, and Johnstone, 2013)

Usage

estSpikedCovariance(R, gamma = NA, numOfSpikes = NA, method = c("KNTest", "median-fitting"), norm = c("Frobenius", "Operator", "Nuclear"), pivot = 1, statistical = NA, fit = NA)

Arguments

xts object of asset returns

gamma

ratio of varibales/observations. If NA it will be set to ratio of varibales/observations

numOfSpikes

number of spikes in the spike covariance model. If missing then it is estimated based on the number of eigenvalues above the cutoff.

method

KNTest/median-fitting. Default is KNTest

norm

Type of matrix norm that must be calculated. Defaults to Frobenius

pivot

takes values from 1...7. Details can be found in the paper

statistical

Stein/Entropy/Divergence/Affinity/Frechet. Default is set to NA. when a valid value is set norm and pivot values are ignored

fit

list with 5 elements, cutoff for the bulk of MP distribution, scaled lambdas, fitted gamma fitted scaling constant and numOfSpikes

Details

If the number of spikes are missing and the selected method is median-fitting then, firstly the scale factor is estimated. We guess the number of spikes by counting the number of breaks using the Freedman-Diaconis algorithm. The initial number of spikes are guessed by counting the number of elements after the first zero. We use this to lower bound the variance. Variance is computed by fitting the median to the spectrum of eigenvalues. If the method is KNTest then we follow the procedure in (Kritchman and Nadler, 2009)

Examples

Run this code

## Not run: 
#  data("rmtdata")
#  model <- estSpikedCovariance(rmtdata, numOfSpikes=15)
# ## End(Not run)

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