assetsStats {fAssets} | R Documentation |
Computes basic statistics of a set of assets.
assetsStats(x)
x |
any rectangular time series object which can be converted by the
function as.matrix() into a matrix object, e.g. like an
object of class timeSeries , data.frame , or mts .
|
returns a data frame with major statistics for a given data set of assets.
Diethelm Wuertz for the Rmetrics port.
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.
## LPP - LPP = as.timeSeries(data(LPP2005REC))[, 1:3] colnames(LPP) # Compute Basic Statistics: basicStats(LPP)