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

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

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