covmat (version 1.0)

plot.RMT: Eigenvalue plot

Description

Eigenvalue plot

Usage

"plot"(x, y, ...)

Arguments

x

model of the type RMT obtained by fitting an RMT model to the data

y

unused

...

additional arguments unused

Details

Plots eigenvalues of the correlation matrix and overlays the Marchenko-Pastur density on top of it. There is a shap cutoff for the density. We are concerned with eigenvalues beyond this cutoff. Paramters used for plotting are added to the plot

Examples

## Not run: 
#  data("largereturn")
#  model <- estRMT(largesymdata)
#  plot(model)
# ## End(Not run)