custom.covRob.Mcd: Compute returns mean vector and covariance matrix with...
In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
View source: R/custom.covRob.R
custom.covRob.Mcd R Documentation
Compute returns mean vector and covariance matrix with custom.covRob.Mcd
Description
custom.covRob.Mcd uses the robustbase package function covMcd to compute a robust
mean vector and robust covariance matrix for a portfolio's asset returns
Usage
custom.covRob.Mcd(R, ...)
Arguments
R
xts object of asset returns
...
parameters for covRob.Mcd
Details
For parameter details, see covMcd in the robustbase Reference
Manual at https://CRAN.R-project.org/package=robustbase
Value
a list containing covariance matrix sigma and mean vector mu
braverock/PortfolioAnalytics documentation built on June 11, 2025, 3:40 a.m.
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View source: R/custom.covRob.R
| custom.covRob.Mcd | R Documentation |
Compute returns mean vector and covariance matrix with custom.covRob.Mcd
Description
custom.covRob.Mcd uses the robustbase package function covMcd to compute a robust mean vector and robust covariance matrix for a portfolio's asset returns
Usage
custom.covRob.Mcd(R, ...)
Arguments
R |
xts object of asset returns |
... |
parameters for covRob.Mcd |
Details
For parameter details, see covMcd in the robustbase Reference Manual at https://CRAN.R-project.org/package=robustbase
Value
a list containing covariance matrix sigma and mean vector mu
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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