View source: R/custom.covRob.R
custom.covRob.TSGS | R Documentation |
This is a function uses the TSGS function from GSE package to compute the Two-Step Generalized S-Estimate, a robust estimate of location and scatter for data with cell-wise and case-wise contamination.
custom.covRob.TSGS(R, ...)
R |
xts object of asset returns |
... |
parameters for covRob.TSGS |
a list contains mean and covariance matrix of the stock return matrix
Claudio Agostinelli, Andy Leung, "Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination", 2014.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.