This is a function uses the TSGS function from GSE package to compute the Two-Step Generalized S-Estimate, a robust estimate of location and scatter for data with cell-wise and case-wise contamination.
custom.covRob.TSGS(R, ...)a list contains mean and covariance matrix of the stock return matrix
xts object of asset returns
parameters for covRob.TSGS
Claudio Agostinelli, Andy Leung, "Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination", 2014.