custom.covRob.Rocke: Compute returns mean vector and covariance matrix with custom.covRob.Rocke
Description
custom.covRob.Rocke uses the RobStatTM package function covRobRocke to compute a robust
mean vector and robust covariance matrix for a portfolio's asset returns
Usage
custom.covRob.Rocke(R, ...)
Value
a list containing covariance matrix sigma and mean vector mu
Arguments
- R
xts object of asset returns
- ...
parameters for covRob.Rocke