plot.RMT: Eigenvalue plot

In barryquinn1/ATI: Algorithmic Trading and Investment

Description

Eigenvalue plot

Usage

## S3 method for class 'RMT'
plot(x, y, ...)

Arguments

x	model of the type RMT obtained by fitting an RMT model to the data
y	unused
...	additional arguments unused

Details

Plots eigenvalues of the correlation matrix and overlays the Marchenko-Pastur density on top of it. There is a shap cutoff for the density. We are concerned with eigenvalues beyond this cutoff. Paramters used for plotting are added to the plot

Author(s)

Barry Quinn

Examples

## Not run: 
 data("largereturn")
 model <- estRMT(largesymdata)
 plot(model)

## End(Not run)

barryquinn1/ATI documentation built on May 10, 2021, 10:47 a.m.