[R-SIG-Finance] PerformanceAnalytics v0.9.7 - data cleaning functions (re Winsorization)

[Brian G. Peterson]

I neglected to mention an additional category of functions in
PerformanceAnalytics 0.9.7

We have added the robust data cleaning functions we've used in our
upcoming JoR and RISK papers to clean the return series prior to
calculating multivariate moments and the corresponding risk measures.
The method implemented here reduces sensitivity to large outliers while
not "ignoring" or "throwing away" any data, and not touching any data
below the specified confidence interval.  Khan(2007) calls the technique
utilized in the limiting procedure ``multivariate Winsorization'.


Functions:
Return.clean
clean.boudt

Ref:

http://braverock.com/brian/R/PerformanceAnalytics/html/Return.clean.html

Estimation and Decomposition of Downside Risk for Portfolios with
Non-Normal Returns. Kris Boudt, Brian G. Peterson, and Christophe Croux.
Journal of Risk, forthcoming Winter 2008.

Component VaR for a non-normal world. Brian Peterson and Kris Boudt.
RISK Magazine. forthcoming November 2008.

Robust linear model selection based on least angle regression. Khan, J.
A., S. Van Aelst, and R. H. Zamar. 2007. Journal of the American
Statistical Association 102 (1289-1299).


Regards,

  - Brian

-- 
http://braverock.com/brian/
Ph: 773-459-4973 
IM: bgpbraverock
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