Covariance Matrix Estimation and Regularization for Finance

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Documentation for package ‘FinCovRegularization’ version 1.1.0

• DESCRIPTION file.

Help Pages

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