[Returnanalytics-commits] r2133 - pkg/PerformanceAnalytics/sandbox/Meucci/R

[noreply at r-forge.r-project.org]

Author: mkshah
Date: 2012-07-09 05:23:23 +0200 (Mon, 09 Jul 2012)
New Revision: 2133

Modified:
   pkg/PerformanceAnalytics/sandbox/Meucci/R/DetectOutliersviaMVE.R
Log:
Updating equations and references

Modified: pkg/PerformanceAnalytics/sandbox/Meucci/R/DetectOutliersviaMVE.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Meucci/R/DetectOutliersviaMVE.R	2012-07-09 02:42:19 UTC (rev 2132)
+++ pkg/PerformanceAnalytics/sandbox/Meucci/R/DetectOutliersviaMVE.R	2012-07-09 03:23:23 UTC (rev 2133)
@@ -49,17 +49,23 @@
 #' via the expectations-minimization algorithm
 #' The location and scatter parameters that define the ellipsoid are 
 #' multivariate high-breakdown estimators of location and scatter 
-#' See Sec. 4.6.1 of "Risk and Asset Allocation" - Springer (2005), by A. Meucci
-#' for the theory and the routine implemented below
 #'
 #' @param  data     a matrix time-series of data. Each row is a observation (date). Each column is an asset
 #' @return list     a list with
 #'      MVE_Location   a numeric with the location parameter of minimum volume ellipsoid
 #'      MVE_Dispersion a numeric with the covariance matrix of the minimum volume ellipsoid
-#'
+#' \deqn { w_{t} =  \frac{1}{T} , t = 1,...,T
+#' \\ m  \equiv \frac{1}{ \sum_{s=1}^T  w_{s} } \sum_{t=1}^T  w_{t}  x_{t}    
+#' \\ S \equiv \sum_{t=1}^T w_{t} \big(x_{t} - m\big) \big(x_{t} - m\big)'
+#' \\ Ma_{t}^{2} \equiv  \big(x-m\big)'  S^{-1}  \big(x-m\big), t=1,...,T 
+#' \\ w_{t}  \mapsto w_{t} Ma_{t}^{2}
+#' \\ U =  \big(x_{1}' -  \hat{E}',...,x_{T}' - \hat{E}' \big)   
+#' \\  \hat{Cov}  \equiv  \frac{1}{T} U'U }
 #' @author Ram Ahluwalia \email{ram@@wingedfootcapital.com}
 #' @references 
-#' \url{http://www.symmys.com}
+#' \url{http://www.symmys.com/sites/default/files/Risk%20and%20Asset%20Allocation%20-%20Springer%20Quantitative%20Finance%20-%20Estimation.pdf}
+#' See Sec. 4.6.1 of "Risk and Asset Allocation" - Springer (2005), by A. Meucci
+#' for the theory and the routine implemented below
 #' See Meucci script for "ComputeMVE.m"
 #' @export
 ComputeMVE = function ( data )