| assetsOutliers {fAssets} | R Documentation |
Detects multivariate outliers in asset sets.
assetsOutliers(x, center, cov, ...)
x |
an object of class timeSeries.
|
center |
a numeric vector, a (robust) estimate of the vector of means
of the multivariate time series x.
|
cov |
a numeric matrix, a (robust) estimate of the covariance matrix
of the multivariate time series x.
|
... |
optional arguments to be passed. |
returns a list with the following entries:
the estimate for the location named center,
the estimate for the covariance matrix named cov,
the estimate for the correlation matrix named cor,
the quantile named quantile,
the outliers named outliers, and
the time series named series.
Moritz Gschwandtner and Peter Filzmoser for the original R code
from package "mvoutliers",
Diethelm Wuertz for the Rmetrics port.
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
## LPP - LPP = as.timeSeries(data(LPP2005REC))[, 1:6] ## assetsOutliers - assetsOutliers(LPP, colMeans(LPP), cov(LPP))