MycovRobTSGS: Control settings for custom.covRob.TSGS

In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Control settings for custom.covRob.TSGS

Description

Auxiliary function for passing the estimation options as parameters to the estimation function custom.TSGS

Usage

MycovRobTSGS(
  filter = c("UBF-DDC", "UBF", "DDC", "UF"),
  partial.impute = FALSE,
  tol = 1e-04,
  maxiter = 150,
  loss = c("bisquare", "rocke"),
  init = c("emve", "qc", "huber", "imputed", "emve_c")
)

Arguments

filter	the filter to be used in the first step. Available choices are "UBF-DDC","UBF","DDC","UF". The default one is "UBF-DDC".
partial.impute	whether partial imputation is used prior to estimation. The default is FALSE.
tol	tolerance for the convergence criterion. Default is 1e-4.
maxiter	maximum number of iterations. Default is 150.
loss	loss function to use, "bisquare" or "rocke". Default is "bisquare"
init	type of initial estimator. Options include "emve", "qc", "huber","imputed","emve_c"

Value

a list of passed parameters

braverock/PortfolioAnalytics documentation built on June 11, 2025, 3:40 a.m.