Condition Number Regularized Covariance Estimation


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Documentation for package ‘CondReg’ version 0.20

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condreg Compute the condition number with given penalty parameter
crbulk Computes multiple solutions
datasnp Standard & Poors index
kgrid Return a vector of grid of penalties for cross-validation
ml_solver Compute shrinkage of eigenvalues for condreg
path_backward Compute optimal u of Lemma 1 in JRSSB paper using the backward algorithm
path_forward Compute optimal u of Lemma 1 in JRSSB paper using the forward algorithm
pfweights Compute optimal portfolio weights
R Weekly stock price data
select_condreg Compute the best condition number regularized based based on cross-validation selected penalty parameter
select_kmax Selection of penalty parameter based on cross-validation
transcost Compute transaction cost