compareCov: This is a utility function to compare two covariance matrices
In covmat: Covariance Matrix Estimation

Description Usage Arguments Details Author(s)

This is a utility function to compare two covariance matrices

1	compareCov(cov1, cov2, labels, corr = FALSE)

`cov1`	covariance matrix using the first method
`cov2`	covariance matrix using the second method
`labels`	strings indicating the type of methods used for comparison
`corr`	flag indicating if the supplied matrices are of type covariance or correlation

This method takes in two different covariance/correlation matrices computed using two different methods and visullay compares them using the ellipse plot. It produces a matrix with ellipses drawn in the upper triangle. The ellipse is drawn to be a contour of a standard bivariate normal with correlation given by the correlation of the two assets. One ellipse is drawn for each covariance matrix.

Rohit Arora

covmat documentation built on May 30, 2017, 4:36 a.m.