custom.covRob.Mcd {PortfolioAnalytics}

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

Description

custom.covRob.Mcd uses the robustbase package function covMcd to compute a robust mean vector and robust covariance matrix for a portfolio's asset returns

Usage

custom.covRob.Mcd(R, ...)

Arguments

R

xts object of asset returns

...

parameters for covRob.Mcd

Details

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

Value

a list containing covariance matrix sigma and mean vector mu