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