Estimation and regularization for covariance matrix of asset returns. For covariance matrix estimation, three major types of factor models are included: macroeconomic factor model, fundamental factor model and statistical factor model. For covariance matrix regularization, four regularized estimators are included: banding, tapering, hard-thresholding and soft- thresholding. The tuning parameters of these regularized estimators are selected via cross-validation.
| Version: | 1.1.0 |
| Depends: | R (≥ 2.10) |
| Imports: | stats, graphics, quadprog |
| Published: | 2016-04-25 |
| Author: | YaChen Yan [aut, cre], FangZhu Lin [aut] |
| Maintainer: | YaChen Yan <yanyachen21 at gmail.com> |
| BugReports: | http://github.com/yanyachen/FinCovRegularization/issues |
| License: | GPL-2 |
| URL: | http://github.com/yanyachen/FinCovRegularization |
| NeedsCompilation: | no |
| CRAN checks: | FinCovRegularization results |
| Reference manual: | FinCovRegularization.pdf |
| Package source: | FinCovRegularization_1.1.0.tar.gz |
| Windows binaries: | r-devel: FinCovRegularization_1.1.0.zip, r-release: FinCovRegularization_1.1.0.zip, r-oldrel: FinCovRegularization_1.1.0.zip |
| macOS binaries: | r-release (arm64): FinCovRegularization_1.1.0.tgz, r-oldrel (arm64): FinCovRegularization_1.1.0.tgz, r-release (x86_64): FinCovRegularization_1.1.0.tgz, r-oldrel (x86_64): FinCovRegularization_1.1.0.tgz |
| Old sources: | FinCovRegularization archive |
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