Explore small subsets of four to six multivariate stock returns in one of the
time series data sets microcap.ts, smallcap.ts, midcap.ts,
largecap.ts, and midcapD.ts by making pairwise scatterplots and
classical versus robust correlations to find a subset that exhibits one or more
substantial differences between the classic and robust correlations. Explain
why the substantial difference or differences between classical and robust
correlations are reasonable given the nature of the data. For such a subset,
compute and display classical and robust Mahalanobis distances, and
comment on any interesting aspects of the multidimensional outliers found.