Robust Filter for Time Series Returns
Return.locScaleRob returns the data after passing through a robust location and scale filter.
Return.locScaleRob(R, alpha.robust = 0.05, normal.efficiency = 0.99, ...)
R |
Data of returns for assets or portfolios. |
alpha.robust |
Tuning parameter for the robust filter. |
normal.efficiency |
Normal efficiency for robust filter. |
... |
any other passthrough parameters |
A vector of the cleaned data.
Xin Chen, chenx26@uw.edu
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
# Loading data from PerformanceAnalytics
data(edhec, package = "PerformanceAnalytics")
class(edhec)
# Changing the data colnames
names(edhec) = c("CA", "CTA", "DIS", "EM", "EMN",
"ED", "FIA", "GM", "LS", "MA",
"RV", "SS", "FOF")
# Cleaning the returns time series for manager data
outRob <- Return.locScaleRob(edhec$CA)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.