Usage
assetsMeanCov(x,
method = c("cov", "mve", "mcd", "MCD", "OGK", "nnve", "shrink", "bagged"),
check = TRUE, force = TRUE, baggedR = 100, sigmamu = scaleTau2,
alpha = 1/2, ...)Arguments
alpha
when methode="MCD", a numeric parameter controlling the size
of the subsets over which the determinant is minimized, i.e.,
alpha*n observations are used for computing the determinant.
Allowed values are
baggedR
when methode="bagged", an integer value, the number of
bootstrap replicates, by default 100.
check
a logical flag. Should the covariance matrix be tested to be
positive definite? By default TRUE.
force
a logical flag. Should the covariance matrix be forced to be
positive definite? By default TRUE.
method
a character string, whicht determines how to compute the covariance
matix. If method="cov" is selected then the standard
covariance will be computed by R's base function cov, if
method="shrink"
sigmamu
when methode="OGK", a function that computes univariate robust
location and scale estimates. By default it should return a single
numeric value containing the robust scale (standard deviation)
estimate. When m
x
any rectangular time series object which can be converted by the
function as.matrix() into a matrix object, e.g. like an
object of class timeSeries, data.frame, or mts.
...
[assetsMeanCov] -
optional arguments to be passed to the underlying estimators.
For details we refer to the manual pages of the functions
cov.rob for arguments "mve" and mcd"} in
the R package co