Detection of Outliers in Asset Sets

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Description

Detects multivariate outliers in asset sets.

Usage

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assetsOutliers(x, center, cov, ...)

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.

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.

Author(s)

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.

Examples

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## LPP -
   LPP <- as.timeSeries(data(LPP2005REC))[, 1:6]
   colnames(LPP)
   
## assetsOutliers -
   assetsOutliers(LPP, colMeans(LPP), cov(LPP))