covmat (version 1.0)

plotSpikedCovariance: Eigenvalue plot. Similar to figure 1 in the paper

Description

Eigenvalue plot. Similar to figure 1 in the paper

Usage

plotSpikedCovariance(R, gamma = NA, numOfSpikes = NA, method = "KNTest", ...)

Arguments

R

xts object of asset returns

gamma

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

numOfSpikes

model of the type spikedCovariance

method

KNTest/median-fitting. Default is KNTest

...

additional arguments unused

Details

Compares shrunk eigenvalues against sample eigenvalues for all norms and losses

Examples

## Not run: 
#  data("rmtdata")
#  plot(rmtdata, numOfSpikes=10)
# ## End(Not run)