covEllipsesPlot {fAssets} | R Documentation |
Displays a covariance ellipses plot.
covEllipsesPlot(x = list(), ...)
x |
a list of at least two covariance matrices. |
... |
optional arguments to be passed. |
This plot visualizes the difference between two or more covariance matrices. It is meant to compare different methods of covariance estimation.
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
## LPP - LPP = as.timeSeries(data(LPP2005REC))[, 1:6] head(LPP) ## cov - Cov = cov(LPP) robustCov = assetsMeanCov(LPP, "MCD")$Sigma ## covEllipsesPlot - covEllipsesPlot(list(Cov, robustCov))