bahc: Filter Covariance and Correlation Matrices with Bootstrapped-Averaged Hierarchical Ansatz

A method to filter correlation and covariance matrices by averaging bootstrapped filtered hierarchical clustering and boosting. See Ch. Bongiorno and D. Challet, Covariance matrix filtering with bootstrapped hierarchies (2020) <arXiv:2003.05807> and Ch. Bongiorno and D. Challet, Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning (2020) <arXiv:2005.08703>.

Version:	0.3.0
Depends:	R (≥ 3.5.0), fastcluster, matrixStats
Published:	2020-09-21
Author:	Christian Bongiorno and Damien Challet
Maintainer:	Damien Challet <damien.challet at gmail.com>
License:	GPL-2 | GPL-3 [expanded from: GPL]
NeedsCompilation:	no
Materials:	NEWS
CRAN checks:	bahc results

Documentation:

Reference manual:

bahc.pdf

Downloads:

Package source:	bahc_0.3.0.tar.gz
Windows binaries:	r-devel: bahc_0.3.0.zip, r-release: bahc_0.3.0.zip, r-oldrel: bahc_0.3.0.zip
macOS binaries:	r-release (arm64): bahc_0.3.0.tgz, r-oldrel (arm64): bahc_0.3.0.tgz, r-release (x86_64): bahc_0.3.0.tgz, r-oldrel (x86_64): bahc_0.3.0.tgz
Old sources:	bahc archive

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