fAssets (version 280.73)

covEllipsesPlot: Covariance Ellipses Plot

Description

Plots covariance ellipses.

Usage

covEllipsesPlot(x = list(), ...)

Arguments

x

a list of at least two covariance matrices.

...

optional arguments to be passed.

Details

This plot visualizes the difference between two or more covariance matrices. It is meant to compare different methods of covariance estimation.

Examples

## LPP -
   LPP = as.timeSeries(data(LPP2005REC))[, 1:6]
   head(LPP)
   
## cov - 
   Cov = cov(LPP)
   robustCov = assetsMeanCov(LPP, "MCD")$Sigma
   
## covEllipsesPlot -
   covEllipsesPlot(list(Cov, robustCov))