custom.covRob.Rocke {PortfolioAnalytics}

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

Description

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

Usage

custom.covRob.Rocke(R, ...)

Arguments

R

xts object of asset returns

...

parameters for covRob.Rocke

Details

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

Value

a list containing covariance matrix sigma and mean vector mu

Author(s)

Yifu Kang