load_all()
data(sp500.subset)
myCovSpec <- CMEspec(estim = "mle",
estimCtrl = list(corr = TRUE),
filter = "MP",
filterCtrl = list(fit.type = "MDE",
norm.meth = "partial",
exclude.market = TRUE))
myCovEst <- Estimate(myCovSpec, sp500.subset)
plot(myCovEst$.filterEstim$eigHist)
estimates <- myCovEst$.filterEstim$mpEstimates
sigma <- estimates[1]
Q <-estimates[2]
lines(x = seq(0,30,0.001), y = dmarpas(x = seq(0,30,0.001), Vars, Qs))
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