custom.covRob.MM {PortfolioAnalytics}

Compute returns mean vector and covariance matrix with custom.covRob.MM

Description

custom.covRob.MM uses the RobStatTM package function covRobMM to compute a robust mean vector and robust covariance matrix for a portfolio's asset returns

Usage

custom.covRob.MM(R, ...)

Arguments

R

xts object of asset returns

...

parameters for covRob.MM

Value

a list containing covariance matrix sigma and mean vector mu

Author(s)

Yifu Kang, Xinran Zhao

References

For parameter details, see covRobMM in the RobStatTM Reference Manual at https://CRAN.R-project.org/package=RobStatTM