Return.locScaleRob: Robust Filter for Time Series Returns

In braverock/PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Robust Filter for Time Series Returns

Description

Return.locScaleRob returns the data after passing through a robust location and scale filter.

Usage

Return.locScaleRob(R, alpha.robust = 0.05, normal.efficiency = 0.99, ...)

Arguments

R	Data of returns for assets or portfolios.
alpha.robust	Tuning parameter for the robust filter.
normal.efficiency	Normal efficiency for robust filter.
...	any other passthrough parameters

Value

A vector of the cleaned data.

Author(s)

Xin Chen, [e-mail]

Anthony-Alexander Christidis, [e-mail]

Examples

# Loading data from PerformanceAnalytics
data(edhec, package = "PerformanceAnalytics")
class(edhec)
# Changing the data colnames
names(edhec) = c("CA", "CTA", "DIS", "EM", "EMN",
                 "ED", "FIA", "GM", "LS", "MA",
                 "RV", "SS", "FOF")
# Cleaning the returns time series for manager data
outRob <- Return.locScaleRob(edhec$CA)

braverock/PerformanceAnalytics documentation built on Feb. 16, 2024, 5:37 a.m.