custom.covRob.TSGS {PortfolioAnalytics}

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

Description

This is a function uses the TSGS function from GSE package to compute the Two-Step Generalized S-Estimate, a robust estimate of location and scatter for data with cell-wise and case-wise contamination.

Usage

custom.covRob.TSGS(R, ...)

Arguments

R

xts object of asset returns

...

parameters for covRob.TSGS

Value

a list contains mean and covariance matrix of the stock return matrix

References

Claudio Agostinelli, Andy Leung, "Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination", 2014.