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, ...)

Arguments

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

Value

A vector of the cleaned data.

Author

Xin Chen, chenx26@uw.edu

Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca

Examples

# Loading data from PerformanceAnalytics
data(edhec, package = "PerformanceAnalytics")
class(edhec)
#> [1] "xts" "zoo"
# 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
if(requireNamespace("RobStatTM", quietly = TRUE)) { # CRAN requires conditional execution
  outRob <- Return.locScaleRob(edhec$CA)
}
#> Registered S3 method overwritten by 'RobStatTM':
#>   method          from      
#>   hatvalues.lmrob robustbase