NoisyObservations: Generate observations from a two asset covariance matrix and...

In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.

Description

Generate observations from a covariance matrix and add outliers

Usage

  NoisyObservations(numGoodSamples, numOutliers,
    covarianceMatrix, shuffle = FALSE)

Arguments

numGoodSamples	number of observations drawn from the covariance matrix
numOutliers	number of outliers added to sample
covarianceMatrix	the covariance matrix for the asset returns from which good samples will be drawn
shuffle	a boolean suggesting whether order of the twos should be shuffled

Value

sample a matrix of returns consisting of good and bad sample. Rows are observations, columns are the assets.

Author(s)

Ram Ahluwalia [e-mail]

R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.