stambaugh.fit: Estimate covariance matrices using Stambaugh method for...
In arorar/covmat: Covariance Matrix Estimation

Description Usage Arguments Details Author(s)

Estimate covariance matrices using Stambaugh method for classical and Robust methods

1	stambaugh.fit(R, method = c("classic", "robust", "truncated"), ...)

`R`	xts or matrix of asset returns
`method`	type of model to fit. Takes 3 values classic/robust/truncated
`...`	pass paramters to fitTimeSeriesFactorModel(factorAnalytics), covRob, lmRob (Robust) functions

This method takes in data as a matrix or an xts object where multiple time series with different starting dates are merged together. It then computes a covariance estimator based on the specifed style

Rohit Arora

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