plot-ellipses | R Documentation |
Displays a covariance ellipses plot.
covEllipsesPlot(x = list(), ...)
x |
a list of at least two covariance matrices. |
... |
optional arguments to be passed. |
This plot visualizes the difference between two or more covariance matrices. It is meant to compare different methods of covariance estimation.
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
## LPP -
# Load Swiss Pension Fund Data:
LPP <- LPP2005REC[, 1:6]
head(LPP)
## assetsMeanCov -
# Compute Robust Covariance Matrix: assetsMeanCov -
Cov <- cov(LPP)
robustCov <- assetsMeanCov(LPP, "MCD")$Sigma
## covEllipsesPlot -
# Create Covariance Ellipse Plot:
covEllipsesPlot(list(Cov, robustCov))
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