This is a utility function to compare two covariance matrices

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Description

This is a utility function to compare two covariance matrices

Usage

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

Arguments

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

Details

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.

Author(s)

Rohit Arora