covEllipsesPlot           package:fAssets           R Documentation

_D_i_s_p_l_a_y_s _a _C_o_v_a_r_i_a_n_c_e _E_l_l_i_p_s_e_s _P_l_o_t

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

     Displays a covariance ellipses plot.

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

     covEllipsesPlot(x = list(), ...)

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

       x: a list of at least two covariance matrices. 

     ...: optional arguments to be passed.


_D_e_t_a_i_l_s:

     This plot visualizes the difference between two or more covariance
     matrices. It is meant to compare different methods of covariance
     estimation.

_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]
        head(LPP)
        
     ## cov - 
        Cov = cov(LPP)
        robustCov = assetsMeanCov(LPP, "MCD")$Sigma
        
     ## covEllipsesPlot -
        covEllipsesPlot(list(Cov, robustCov))  

