custom.covRob.Rocke {PortfolioAnalytics} | R Documentation |
custom.covRob.Rocke uses the RobStatTM package function covRobRocke to compute a robust mean vector and robust covariance matrix for a portfolio's asset returns
custom.covRob.Rocke(R, ...)
R |
xts object of asset returns |
... |
parameters for covRob.Rocke |
For parameter details, see covRobRocke in the RobStatTM Reference Manual at https://CRAN.R-project.org/package=RobStatTM
a list containing covariance matrix sigma and mean vector mu
Yifu Kang