assets-outliers: Detection of Outliers in Asset Sets
Description
Detects multivariate outliers in asset sets.
Usage
assetsOutliers(x, center, cov, ...)
Value
returns a list with the following entries:
the estimate for the location named center,
the estimate for the covariance matrix named cov,
the estimate for the correlation matrix named cor,
the quantile named quantile,
the outliers named outliers, and
the time series named series.
Arguments
x
an object of class timeSeries.
center
a numeric vector, a (robust) estimate of the vector of means
of the multivariate time series x.
cov
a numeric matrix, a (robust) estimate of the covariance matrix
of the multivariate time series x.
...
optional arguments to be passed.
Author
Moritz Gschwandtner and Peter Filzmoser for the original R code
from package "mvoutliers",
Diethelm Wuertz for the Rmetrics port.
References
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009);
Portfolio Optimization with R/Rmetrics,
Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.