MycovRobTSGS {PortfolioAnalytics} | R Documentation |
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
[Package PortfolioAnalytics version 2.0.0 Index]