assets-meancov {fAssets} | R Documentation |
Estimation of Mean and Covariances of Asset Sets
Description
Estimates the mean and/or covariance matrix of a time series of assets by traditional and robust methods.
Usage
assetsMeanCov(x,
method = c("cov", "mve", "mcd", "MCD", "OGK", "nnve", "shrink", "bagged"),
check = TRUE, force = TRUE, baggedR = 100, sigmamu = scaleTau2,
alpha = 1/2, ...)
getCenterRob(object)
getCovRob(object)
Arguments
x |
any rectangular time series object which can be converted by the
function |
method |
a character string, whicht determines how to compute the covariance
matix. If |
check |
a logical flag. Should the covariance matrix be tested to be
positive definite? By default |
force |
a logical flag. Should the covariance matrix be forced to be
positive definite? By default |
baggedR |
when |
sigmamu |
when |
object |
a list as returned by the function |
alpha |
when |
... |
optional arguments to be passed to the underlying estimators.
For details we refer to the manual pages of the functions
|
Value
assetsMeanCov
returns a list with for entries named center
cov
,
mu
and Sigma
. The list may have a character vector
attributed with additional control parameters.
getCenterRob
extracts the center from an object as returned by the function
assetsMeanCov
.
getCovRob
extracts the covariance from an object as returned by the function
assetsMeanCov
.
Author(s)
Juliane Schaefer and Korbinian Strimmer for R's corpcov
package,
Diethelm Wuertz for the Rmetrics port.
References
Breiman L. (1996); Bagging Predictors, Machine Learning 24, 123–140.
Ledoit O., Wolf. M. (2003); ImprovedEestimation of the Covariance Matrix of Stock Returns with an Application to Portfolio Selection, Journal of Empirical Finance 10, 503–621.
Schaefer J., Strimmer K. (2005); A Shrinkage Approach to Large-Scale Covariance Estimation and Implications for Functional Genomics, Statist. Appl. Genet. Mol. Biol. 4, 32.
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
Examples
## LPP -
LPP <- as.timeSeries(data(LPP2005REC))[, 1:6]
colnames(LPP)
## Sample Covariance Estimation:
assetsMeanCov(LPP)
## Shrinked Estimation:
shrink <- assetsMeanCov(LPP, "shrink")
shrink
## Extract Covariance Matrix:
getCovRob(shrink)