stambaugh.distance.plot: Compute Mahalanobis distances for each of the data points and...
In arorar/covmat: Covariance Matrix Estimation

Description Usage Arguments Details Author(s)

Compute Mahalanobis distances for each of the data points and plot it against upper 2.5% chi-square quantile

1	stambaugh.distance.plot(model, level = 0.975)

`model`	fitted models for covariance
`level`	value between 0 and 1 giving the chi-squared percent point used to compute threshold for juding a point as an outlier

This method takes in fitted models for Stamgaugh Estimator. It then uses the distances computed for each stage and plots it against the upper level% Chi-Square quantile

Rohit Arora

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