Description Usage Arguments Value Examples
Estimates the covariance matrix of a dataset according to the user-defined function.
1 | sigma_estim_wrapper(data, est_func, res_all = FALSE, ...)
|
data |
an nxp data matrix. |
est_func |
an estimation function. |
res_all |
a logical, defining the return object. If FALSE, only the estimated covariance matrix is returned. If TRUE, a list with two entries is returned. The first entry is the estimated covariance matrix. The second entry is the estimation specific (tuning) parameter. Default value is FALSE. |
... |
additional parameters, parsed to est_func |
a list with the following entries
a pxp estimated covariance matrix.
an estimation specific (tuning) parameter.
1 2 3 | data(sp200)
sp_rets <- sp200[,-1]
sigma_ml <- sigma_estim_wrapper(sp_rets, est_func=sigma_estim_ml)[[1]]
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.