plotSpikedCovariance: Eigenvalue plot. Similar to figure 1 in the paper

In arorar/covmat: Covariance Matrix Estimation

Description

Eigenvalue plot. Similar to figure 1 in the paper

Usage

plotSpikedCovariance(R, gamma = NA, numOfSpikes = NA, method = "KNTest",
  ...)

Arguments

R	xts object of asset returns
gamma	ratio of varibales/observations. If NA it will be set to ratio of varibales/observations
numOfSpikes	model of the type spikedCovariance
method	KNTest/median-fitting. Default is KNTest
...	additional arguments unused

Details

Compares shrunk eigenvalues against sample eigenvalues for all norms and losses

Author(s)

Rohit Arora

Examples

## Not run: 
 data("rmtdata")
 plot(rmtdata, numOfSpikes=10)

## End(Not run)

arorar/covmat documentation built on May 10, 2019, 1:48 p.m.