FinCovRegularization-package |
FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance |
banding |
Banding Opreator on Covariance Matrix |
banding.cv |
Select Tuning Parameter for Banding Covariance Matrix by CV |
F.norm2 |
The Squared Frobenius Norm |
FinCovRegularization |
FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance |
FundamentalFactor.Cov |
Covariance Matrix Estimation by Fundamental Factor Model |
GMVP |
Global Minimum Variance Portfolio |
hard.thresholding |
Hard-Thresholding Opreator on Covariance Matrix |
Ind.Cov |
Independence opreator on Covariance Matrix |
m.excess.c10sp9003 |
10 stock and S&P 500 excess returns |
MacroFactor.Cov |
Covariance Matrix Estimation by Macroeconomic Factor Model |
O.norm2 |
The Squared Operator Norm |
RiskParity |
Risk Parity Portfolio |
soft.thresholding |
Soft-Thresholding Opreator on Covariance Matrix |
StatFactor.Cov |
Covariance Matrix Estimation by Statistical Factor Model |
tapering |
Tapering Opreator on Covariance Matrix |
tapering.cv |
Select Tuning Parameter for Tapering Covariance Matrix by CV |
threshold.cv |
Select Tuning Parameter for Thresholding Covariance Matrix by CV |