covEstimator {fPortfolio} | R Documentation |
Functions to estimate the sample mean and covariance of rectangular objects.
covEstimator(x, spec = NULL, ...) mveEstimator(x, spec = NULL, ...) mcdEstimator(x, spec = NULL, ...) lpmEstimator(x, spec = NULL, ...) kendallEstimator(x, spec = NULL, ...) spearmanEstimator(x, spec = NULL, ...) covMcdEstimator(x, spec = NULL, ...) covOGKEstimator(x, spec = NULL, ...) shrinkEstimator(x, spec = NULL, ...) nnveEstimator(x, spec = NULL, ...)
spec |
unused. |
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 .
|
... |
optional arguments to be passed to the underlying estimators. |
The functions are underlying the following algorithms:
covEstimator
uses standard covariance estimation,
mveEstimator
uses the function "cov.mve" from the MASS package,
mcdEstimator
uses the function "cov.mcd" from the MASS package,
lpmEstimator
returns lower partial moment estimator,
kendallEstimator
returns Kendall's rank estimator,
spearmanEstimator
returns Spearman's rankestimator,
covMcdEstimator
requires "covMcd" from package robustbase,
covOGKEstimator
requires "covOGK" from package robustbase,
nnveEstimator
uses builtin from package covRobust,
shrinkEstimator
uses builtin from package corpcor.
the functions return a list with two entries named mu
and
Sigma
.
The first denotes the vector of column means, and the second the
covariance matrix. Note, that the output of this function can be
used as data input for the portfolio functions to compute the
efficient frontier.
Juliane Schaefer and Korbinian Strimmer for R's corpcov
package,
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.
MultivariateDistribution
.
## berndtInvest - LPP = as.timeSeries(data(LPP2005REC))[, 1:6] colnames(LPP) ## Classical Covariance Estimation: covEstimator(LPP)