Description Usage Arguments Details Author(s)
This is a utility function to compare two covariance matrices
1 | compareCov(cov1, cov2, labels, corr = FALSE)
|
cov1 |
covariance matrix using the first method |
cov2 |
covariance matrix using the second method |
labels |
strings indicating the type of methods used for comparison |
corr |
flag indicating if the supplied matrices are of type covariance or correlation |
This method takes in two different covariance/correlation matrices computed using two different methods and visullay compares them using the ellipse plot. It produces a matrix with ellipses drawn in the upper triangle. The ellipse is drawn to be a contour of a standard bivariate normal with correlation given by the correlation of the two assets. One ellipse is drawn for each covariance matrix.
Rohit Arora
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