assetsOutliers            package:fAssets            R Documentation

_D_e_t_e_c_t_i_o_n _o_f _O_u_t_l_i_e_r_s _i_n _A_s_s_e_t _S_e_t_s

_D_e_s_c_r_i_p_t_i_o_n:

     Detects multivariate outliers in asset sets.

_U_s_a_g_e:

     assetsOutliers(x, center, cov, ...)

_A_r_g_u_m_e_n_t_s:

       x: an object of class 'timeSeries'.  

  center: a numeric vector, a (robust) estimate of the vector of means 
           of the multivariate time series 'x'. 

     cov: a numeric matrix, a (robust) estimate of the covariance
          matrix  of the multivariate time series 'x'. 

     ...: optional arguments to be passed. 

_V_a_l_u_e:

     returns a list with the following entries: the estimate for the
     location named 'center',  the estimate for the covariance matrix
     named 'cov', the estimate for the correlation matrix named 'cor', 
      the quantile named 'quantile',   the outliers named 'outliers',
     and  the time series named 'series'.

_A_u_t_h_o_r(_s):

     Moritz Gschwandtner and Peter Filzmoser for the original R code
     from package "mvoutliers", 
      Diethelm Wuertz for the Rmetrics port.

_R_e_f_e_r_e_n_c_e_s:

     Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); _Portfolio
     Optimization with R/Rmetrics_,  Rmetrics eBook, Rmetrics
     Association and Finance Online, Zurich.

_E_x_a_m_p_l_e_s:

     ## LPP -
        LPP = as.timeSeries(data(LPP2005REC))[, 1:6]
        
     ## assetsOutliers -
        assetsOutliers(LPP, colMeans(LPP), cov(LPP))

