Description Usage Arguments Value Author(s) References
See Sec. 4.6.1 of "Risk and Asset Allocation" - Springer (2005), by A. Meucci for the theory and the routine implemented below
1 | DetectOutliersViaMVE(corruptSample)
|
corruptSample |
a matrix of returns with outlier data. Rows are observations, columns are assets. |
a list containing: plotdata a matrix of data used to plot minimum volume ellipsoid as a function of its length cutofflist an ordering of observations with the highest Mahalanobis distance (i.e. ordering of outliers by their index )#' numOutliers returns the number of outliers based on the slope of the minimum volume ellipsoid as a function of sample data
Ram Ahluwalia ram@wingedfootcapital.com
http://www.symmys.com See Meucci script for "S_HighBreakdownMVE.m"
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.