PortfolioAnalytics (version 2.1.0)

MycovRobTSGS: Control settings for custom.covRob.TSGS

Description

Auxiliary function for passing the estimation options as parameters to the estimation function custom.TSGS

Usage

MycovRobTSGS(
  filter = c("UBF-DDC", "UBF", "DDC", "UF"),
  partial.impute = FALSE,
  tol = 1e-04,
  maxiter = 150,
  loss = c("bisquare", "rocke"),
  init = c("emve", "qc", "huber", "imputed", "emve_c")
)

Value

a list of passed parameters

Arguments

filter

the filter to be used in the first step. Available choices are "UBF-DDC","UBF","DDC","UF". The default one is "UBF-DDC".

partial.impute

whether partial imputation is used prior to estimation. The default is FALSE.

tol

tolerance for the convergence criterion. Default is 1e-4.

maxiter

maximum number of iterations. Default is 150.

loss

loss function to use, "bisquare" or "rocke". Default is "bisquare"

init

type of initial estimator. Options include "emve", "qc", "huber","imputed","emve_c"